NEWTON'S METHOD FOR STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS.
- Resource Type
- Article
- Authors
- WRZOSEK, MONIKA
- Source
- Electronic Journal of Differential Equations. 2012, Vol. 2012, Special section p1-10. 10p.
- Subject
- *NEWTON-Raphson method
*FUNCTIONAL differential equations
*STOCHASTIC difference equations
*MATHEMATICAL inequalities
*STOCHASTIC convergence
- Language
- ISSN
- 1550-6150
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. [ABSTRACT FROM AUTHOR]