Waveform relaxation method for stochastic differential equations with constant delay (Q617636): Difference between revisions

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 \[ \begin{aligned} dX(t) & =f(t,X(t),X(t-\tau))dt+g(t,X(t),X(t-\tau))dW(t),\;0<t\leq T,\\ X(t) & =\xi(t),\;-\tau\leq t\leq0.\end{aligned} \]