Waveform relaxation method for stochastic differential equations with constant delay

DOI10.1016/j.apnum.2010.10.003zbMath1211.65006OpenAlexW2046422304MaRDI QIDQ617636

Zhencheng Fan

Publication date: 21 January 2011

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.10.003

zbMATH Keywords

systemwaveform relaxation methodsmean square convergencestochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence analysis of waveform relaxation methods for neutral differential-functional systems
• Remarks on Picard-Lindelöf iteration
• Higher-order implicit strong numerical schemes for stochastic differential equations
• An analysis of convergence for two-stage waveform relaxation methods
• On the convergence of iterative methods for general differential-algebraic systems
• On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations
• Convergence results for continuous-time waveform methods for Volterra integral equations
• Convergence analysis of two-stage waveform relaxation method for the initial value problems
• Convergence of waveform relaxation methods for Hermitian positive definite linear systems
• Convergence of waveform relaxation methods for neutral delay differential equations
• A Jacobi Waveform Relaxation Method for ODEs
• On SOR Waveform Relaxation Methods
• A General Approach to Waveform Relaxation Solutions of Nonlinear Differential-Algebraic Equations: The Continuous-Time and Discrete-Time Cases
• Waveform Relaxation for Functional-Differential Equations
• Convergence of Waveform Relaxation Methods for Differential-Algebraic Systems
• On the Convergence of Two-Stage Iterative Processes for Solving Linear Equations

This page was built for publication: Waveform relaxation method for stochastic differential equations with constant delay