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Abstract
In the present investigation, numerical methods are developed for approximate solution of stochastic boundary-value problems. In particular, shooting methods are examined for numerically solving systems of Stratonovich boundary-value problems. It is proved that these methods accurately approximate the solutions of stochastic boundary-value problems. An error analysis of these methods is performed. Computational simulations are given.
Mathematics Subject Classification:
Acknowledgments
The research was supported by the Texas Advanced Research Program Grant ARP 0212-44-1582 and the National Science Foundation Grant DMS-0201105.