Waveform relaxation method for stochastic differential equations with constant delay

DOI10.1016/J.APNUM.2010.10.003MaRDI QIDQ617636zbMATH OpenOpenAlexFDO

Authors Zhencheng Fan

Publication date 21 January 2011

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2010.10.003

zbMATH Keywords

mean square convergencesystemstochastic delay differential equationswaveform relaxation methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 3784042 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 4118220 (Why is no real title available?)
• A General Approach to Waveform Relaxation Solutions of Nonlinear Differential-Algebraic Equations: The Continuous-Time and Discrete-Time Cases
• A Jacobi Waveform Relaxation Method for ODEs
• An analysis of convergence for two-stage waveform relaxation methods
• Convergence analysis of two-stage waveform relaxation method for the initial value problems
• Convergence analysis of waveform relaxation methods for neutral differential-functional systems
• Convergence of Waveform Relaxation Methods for Differential-Algebraic Systems
• Convergence of waveform relaxation methods for Hermitian positive definite linear systems
• Convergence of waveform relaxation methods for neutral delay differential equations
• Convergence results for continuous-time waveform methods for Volterra integral equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• On SOR Waveform Relaxation Methods
• On the Convergence of Two-Stage Iterative Processes for Solving Linear Equations
• On the convergence of iterative methods for general differential-algebraic systems
• On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations
• Remarks on Picard-Lindelöf iteration
• Waveform Relaxation for Functional-Differential Equations
• Waveform relaxation methods for stochastic differential equations

Cited in

(6)

• A waveform relaxation method for stochastic pantograph equations
• SOR waveform relaxation methods for stochastic differential equations
• Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
• Discrete time waveform relaxation method for stochastic delay differential equations
• On Error Estimates for Waveform Relaxation Methods for Delay-Differential Equations
• Waveform relaxation methods for stochastic differential equations

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