Waveform relaxation method for stochastic differential equations with constant delay

• Autores: Zhencheng Fan
• Localización: Applied numerical mathematics, ISSN-e 0168-9274, Vol. 61, Nº. 2, 2011, págs. 229-240
• Idioma: inglés
• DOI: 10.1016/j.apnum.2010.10.003
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• Resumen

  • This paper extends the waveform relaxation method to stochastic differential equations with constant delay terms, gives sufficient conditions for the mean square convergence of the method. A lot of attention is paid to the rate of convergence of the method. The conditions of the superlinear convergence for a special case, which bases on the special splitting functions, are given. The theory is applied to a one-dimensional model problem and checked against results obtained by numerical experiments.