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

DOI10.1016/j.amc.2015.04.038zbMath1410.65008OpenAlexW345672321WikidataQ115361349 ScholiaQ115361349MaRDI QIDQ1663560

Zhencheng Fan

Publication date: 21 August 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.04.038

zbMATH Keywords

stochastic differential equationssuperlinear convergencewaveform relaxation methodsmean square convergenceneutral stochastic functional differential equations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Neutral functional-differential equations (34K40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Convergence of discrete time waveform relaxation methods, Symplectic waveform relaxation methods for Hamiltonian systems, The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Waveform relaxation method for stochastic differential equations with constant delay
• Discrete time waveform relaxation method for stochastic delay differential equations
• Waveform relaxation methods for functional differential systems of neutral type
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• 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
• Introduction to the numerical analysis of stochastic delay 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
• Numerical Solutions of Neutral Stochastic Functional 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
• Numerical Solutions of Stochastic Functional Differential Equations
• Convergence of Waveform Relaxation Methods for Differential-Algebraic Systems
• On the Convergence of Two-Stage Iterative Processes for Solving Linear Equations