Discrete time waveform relaxation method for stochastic delay differential equations (Q618079)

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Discrete time waveform relaxation method for stochastic delay differential equations
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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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