Resource title

Numerical solution of boundary value problems for stochastic differential equations on the basis of the Gibbs sampler

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Resource description

To solve boundary value problems for linear systems of stochastic differential equations we propose and justify a numerical method based on the Gibbs sampler. In contrast to the technique which yields for linear systems an "exact" numerical solution, the proposed method is simpler to generalize for stochastic partial differential equations and nonlinear systems. Such generalizations are discussed as well.

Resource author

Sergej M. Prigarin, Gerhard Winkler

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/23884

Resource license

Adapt according to the presented license agreement and reference the original author.