Abstract
Waveform relaxation for solving large-scale systems of ordinary differential equations has extended to stochastic differential equations (SDEs). This paper deals with the acceleration of the Gauss–Sediel waveform relaxation method for SDEs by successive overrelaxation (SOR) techniques. A sufficient condition of the linear convergence is obtained for the continuous time SOR waveform relaxation method. The discrete time SOR waveform relaxation method used in an actual implementation was also studied. We first prove that the general numerical schemes are convergent and then the particular method based on Euler scheme linearly converge to the Euler approximate solution of SDEs. At last, the theory is applied to a model problem and checked against results obtained by numerical experiments.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callSimilar Papers
More From: Applied Mathematics and Computation
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
