Geodesic
Newton's method for stochastic functional differential equations
Electronic Journal of Differential Equations, Tome 2012 (2012).

Voir la notice de l'article provenant de la source Electronic Library of Mathematics

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.
Classification : 60H10, 60H35, 65C30
Keywords: Newton's method, stochastic functional differential equations 
@article{EJDE_2012__2012__a85,
     author = {Wrzosek, Monika},
     title = {Newton's method for stochastic functional differential equations},
     journal = {Electronic Journal of Differential Equations},
     publisher = {mathdoc},
     volume = {2012},
     year = {2012},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/EJDE_2012__2012__a85/}
}
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Wrzosek, Monika. Newton's method for stochastic functional differential equations. Electronic Journal of Differential Equations, Tome 2012 (2012). http://geodesic.mathdoc.fr/item/EJDE_2012__2012__a85/