Institute of Mathematics, University of Gda\'nsk
Wita Stwosza 57, 80-952 Gda\'nsk, Poland
email: Monika.Wrzosek@mat.ug.edu.pl
Monika Wrzosek
Abstract:
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.
Submitted May 31, 2012. Published August 15, 2012.
Math Subject Classifications: 60H10, 60H35, 65C30.
Key Words: Newton's method; stochastic functional differential equations.
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Monika Wrzosek Institute of Mathematics, University of Gda\'nsk Wita Stwosza 57, 80-952 Gda\'nsk, Poland email: Monika.Wrzosek@mat.ug.edu.pl |
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