Waveform relaxation method for stochastic differential equations with constant delay (Q617636): Difference between revisions
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Revision as of 03:39, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Waveform relaxation method for stochastic differential equations with constant delay |
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Waveform relaxation method for stochastic differential equations with constant delay (English)
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21 January 2011
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The author gives sufficient conditions for the mean square convergence of the waveform relaxation method to a system of stochastic differential equations with constant delay of the form \[ \begin{aligned} dX(t) & =f(t,X(t),X(t-\tau))dt+g(t,X(t),X(t-\tau))dW(t),\;0<t\leq T,\\ X(t) & =\xi(t),\;-\tau\leq t\leq0.\end{aligned} \]
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waveform relaxation methods
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stochastic delay differential equations
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mean square convergence
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system
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