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
收藏
页码：3903 / 3909
页数：7
相关论文
共 50 条
  • [21] An analysis of stability of milstein method for Stochastic differential equations with delay
    Wang, Zhiyong
    Zhang, Chengjian
    COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2006, 51 (9-10) : 1445 - 1452
  • [22] Split-step θ-method for stochastic delay differential equations
    Cao, Wanrong
    Hao, Peng
    Zhang, Zhongqiang
    APPLIED NUMERICAL MATHEMATICS, 2014, 76 : 19 - 33
  • [23] Convergence of discrete time waveform relaxation methods
    Zhencheng Fan
    Numerical Algorithms, 2019, 80 : 469 - 483
  • [24] Convergence of discrete time waveform relaxation methods
    Fan, Zhencheng
    NUMERICAL ALGORITHMS, 2019, 80 (02) : 469 - 483
  • [25] Stability of stochastic θ-methods for stochastic delay integro-differential equations
    Hu, Peng
    Huang, Chengming
    INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2011, 88 (07) : 1417 - 1429
  • [26] On the averaging principle for stochastic delay differential equations with jumps
    Wei Mao
    Surong You
    Xiaoqian Wu
    Xuerong Mao
    Advances in Difference Equations, 2015
  • [27] An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
    Akhtari, B.
    Babolian, E.
    Bastani, A. Foroush
    NUMERICAL ALGORITHMS, 2015, 69 (01) : 29 - 57
  • [28] Discrete approximation of stochastic differential equations
    Kruse R.
    SeMA Journal, 2010, 51 (1): : 83 - 90
  • [29] Compensated stochastic theta methods for stochastic differential delay equations with jumps
    Li, Qiyong
    Gan, Siqing
    Wang, Xiaojie
    INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2013, 90 (05) : 1057 - 1071
  • [30] NUMERICAL SOLUTIONS OF STOCHASTIC DIFFERENTIAL DELAY EQUATIONS WITH JUMPS
    Zhao, Guihua
    Song, Minghui
    Liu, Mingzhu
    INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 2009, 6 (04) : 659 - 679
12345