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.
Open Access
Extension of the method of quasilinearization for stochastic initial value problems
Received01 Aug 1994
Revised01 Nov 1994
Copyright
Copyright © 1995 Hindawi Publishing Corporation. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.