Newton's method for stochastic functional differential equations
In this article, we apply Newton's method to stochastic functional differential equations. The first part concerns a first-order convergence. We formulate a Gronwall-type inequality which plays an important role in the proof of the convergence theorem for the Newton method. In the second pa...
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| Format: | Article |
| Language: | English |
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Texas State University
2012-08-01
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| Series: | Electronic Journal of Differential Equations |
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| Online Access: | http://ejde.math.txstate.edu/Volumes/2012/130/abstr.html |
| Summary: | In this article, we apply Newton's method to stochastic functional differential equations. The first part concerns a first-order convergence. We formulate a Gronwall-type inequality which plays an important role in the proof of the convergence theorem for the Newton method. In the second part a probabilistic second-order convergence is studied. |
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| ISSN: | 1072-6691 |