Waveform relaxation methods for stochastic differential equations
From MaRDI portal
Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Recommendations
- SOR waveform relaxation methods for stochastic differential equations
- Waveform relaxation method for stochastic differential equations with constant delay
- Discrete time waveform relaxation method for stochastic delay differential equations
- scientific article; zbMATH DE number 939851
- Almost sure convergence of the discrete waveform relaxation method for linear stochastic differential equations
Cited in
(6)- Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- Waveform relaxation method for stochastic differential equations with constant delay
- Discrete time waveform relaxation method for stochastic delay differential equations
- Local p-th mean stability of scalar SDEs with infinite memory by contraction mapping principle on weak Banach spaces
- Existence, uniqueness and Hölder-continuity of L^p-solutions of stochastic neutral integro-differential equations with infinite memory
This page was built for publication: Waveform relaxation methods for stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5479956)
