Discrete time waveform relaxation method for stochastic delay differential equations

DOI10.1016/J.AMC.2010.09.052zbMATH Open1208.65015OpenAlexW2080414748MaRDI QIDQ618079FDOQ618079

Authors: Zhencheng Fan 

Publication date: 14 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.amc.2010.09.052

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• Waveform relaxation method for stochastic differential equations with constant delay
• Discrete waveform relaxation method for linear fractional delay differential-algebraic equations
• Almost sure convergence of the discrete waveform relaxation method for linear stochastic differential equations
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zbMATH Keywords

mean square convergencestochastic differential equationsstochastic delay differential equationswaveform relaxation methodssemi-implicit Euler methods

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Waveform Relaxation for Functional-Differential Equations
• Title not available (Why is that?)
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Title not available (Why is that?)
• Title not available (Why is that?)
• On SOR Waveform Relaxation Methods
• Convergence analysis of two-stage waveform relaxation method for the initial value problems
• A General Approach to Waveform Relaxation Solutions of Nonlinear Differential-Algebraic Equations: The Continuous-Time and Discrete-Time Cases
• Computing periodic solutions of linear differential-algebraic equations by waveform relaxation
• Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
• A Jacobi Waveform Relaxation Method for ODEs
• Circulant preconditioned WR-BVM methods for ODE systems.
• An analysis of convergence for two-stage waveform relaxation methods
• On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations
• Convergence of waveform relaxation methods for Hermitian positive definite linear systems
• Convergence of Waveform Relaxation Methods for Differential-Algebraic Systems
• Waveform relaxation methods for stochastic differential equations

Cited In (9)

• A waveform relaxation method for stochastic pantograph equations
• Almost sure convergence of the discrete waveform relaxation method for linear stochastic differential equations
• SOR waveform relaxation methods for stochastic differential equations
• Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
• Waveform relaxation method for stochastic differential equations with constant delay
• Discrete waveform relaxation method for linear fractional delay differential-algebraic equations
• The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations
• Waveform relaxation methods for stochastic differential equations
• Convergence of discrete time waveform relaxation methods

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