Discrete time waveform relaxation method for stochastic delay differential equations
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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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Cites work
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Cited in
(9)- Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
- Convergence of discrete time waveform relaxation methods
- The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations
- Discrete waveform relaxation method for linear fractional delay differential-algebraic equations
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- Waveform relaxation methods for stochastic differential equations
- Waveform relaxation method for stochastic differential equations with constant delay
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