Extension of the method of quasilinearization for stochastic initial value problems. (1995)

• Record Type: Journal Article
• Authors: Shahzad, N.; McRae, Farzana A.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 8:Number 1(1995)
• Page Start: 69
• Page End: 75
• Publication Date: 1995
• Subjects: quasilinearization -- quadratic convergence -- monotone sequence -- stochastic initial value problem; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953395000062
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : In this paper we extend the method of quasilinearization to stochastic initial value problems. Further we prove that the iterates converge uniformly almost surely to the unique solution and the convergence is quadratic.