Discrete time waveform relaxation method for stochastic delay differential equations
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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.
论文关键词：Waveform relaxation methods,Stochastic differential equations,Stochastic delay differential equations,Mean square convergence,Semi-implicit Euler methods
论文评审过程：Available online 8 October 2010.
论文官网地址：https://doi.org/10.1016/j.amc.2010.09.052
