Almost sure convergence of the discrete waveform relaxation method for linear stochastic differential equations

MaRDI QIDQ3110690zbMATH OpenFDO

Authors Zhencheng Fan

Publication date 27 January 2012

zbMATH Keywords

stochastic differential equationnumerical experimentsalmost sure convergencewaveform relaxation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(3)

• SOR waveform relaxation methods for stochastic differential equations
• Discrete time waveform relaxation method for stochastic delay differential equations
• Waveform relaxation methods for stochastic differential equations

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