Discrete time waveform relaxation method for stochastic delay differential equations

被引：3

作者：

Fan, Zhencheng ^{[1
]}

机构：

[1] Minjiang Univ, Dept Math, Fuzhou 350108, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2010年 / 217卷 / 08期

关键词：

Waveform relaxation methods; Stochastic differential equations; Stochastic delay differential equations; Mean square convergence; Semi-implicit Euler methods; SEMIIMPLICIT EULER METHOD; ALGEBRAIC EQUATIONS; CONVERGENCE;

D O I：

10.1016/j.amc.2010.09.052

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We propose in this paper the discrete time waveform relaxation method for the stochastic delay differential equations and prove that it is convergent in the mean square sense. In addition, the results obtained are supported by numerical experiments. (C) 2010 Published by Elsevier Inc.

引用

页码：3903 / 3909

页数：7

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