The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations

DOI10.1007/S12190-020-01443-3MaRDI QIDQ2053233zbMATH OpenOpenAlexWikidataFDO

Authors Xuan Xin, Qiang Ma, Xiaohua Ding

Publication date 29 November 2021

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12190-020-01443-3

zbMATH Keywords

limit methodstochastic differential equationsstochastic Runge-Kutta methodwaveform relaxation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• SOR waveform relaxation methods for stochastic differential equations
• Metodi waveform relaxation per la risoluzione numerica di grandi sistemi di equazioni differenziali ordinarie
• Convergence of the parallel chaotic waveform relaxation method for stiff systems
• On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations
• Convergence Analysis of Parareal Algorithm Based on Milstein Scheme for Stochastic Differential Equations

Cites work

• A Jacobi Waveform Relaxation Method for ODEs
• Convergence and stability of balanced methods for stochastic delay integro-differential equations
• Convergence of Waveform Relaxation Methods for Differential-Algebraic Systems
• Discrete time waveform relaxation method for stochastic delay differential equations
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
• Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• On SOR Waveform Relaxation Methods
• On the convergence of iterative methods for general differential-algebraic systems
• Order conditions of stochastic Runge--Kutta methods by B-series
• Remarks on Picard-Lindelöf iteration
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Symplectic waveform relaxation methods for Hamiltonian systems
• The use of Runge-Kutta formulae in waveform relaxation methods
• Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
• Waveform relaxation methods for functional differential systems of neutral type

This page was built for publication: The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2053233)