Discrete time waveform relaxation method for stochastic delay differential equations (Q618079)
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scientific article; zbMATH DE number 5836682
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete time waveform relaxation method for stochastic delay differential equations |
scientific article; zbMATH DE number 5836682 |
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Discrete time waveform relaxation method for stochastic delay differential equations (English)
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14 January 2011
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A discrete time waveform relaxation (WR) method is given for numerically approximating the solution of the stochastic delay differential equation \[ dX(t)= f(t,X(t),X(t- \tau))\,dt+ g(t,X(t),X(t-\tau))\, dW(t),\quad t\in(0, T], \] where \(X(t)=\xi(t)\), \(t\in[-\tau,0]\). Mean square convergence of the approximations to the actual solution is proved. Numerical results are provided comparing approximations generated by the WR method to those generated by a semi-implicit Euler method.
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waveform relaxation methods
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stochastic differential equations
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stochastic delay differential equations
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mean square convergence
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semi-implicit Euler methods
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