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 convergencestochastic delay differential equationssystemwaveform relaxation methods

Mathematics Subject Classification ID

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

Review text

The author gives sufficient conditions for the mean square convergence of the waveform relaxation method to a system of stochastic differential equations with constant delay of the form \[ \begin{aligned} dX(t) & =f(t,X(t),X(t-\tau))dt+g(t,X(t),X(t-\tau))dW(t),\;0<t\leq T,\\ X(t) & =\xi(t),\;-\tau\leq t\leq0.\end{aligned} \]

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Cites work

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Cited in

(6)

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

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