Waveform relaxation techniques for stochastic differential equations

Hertono, Gatot F. (2002). Waveform relaxation techniques for stochastic differential equations PhD Thesis, School of Physical Sciences, The University of Queensland.

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Author Hertono, Gatot F.
Thesis Title Waveform relaxation techniques for stochastic differential equations
School, Centre or Institute School of Physical Sciences
Institution The University of Queensland
Publication date 2002
Thesis type PhD Thesis
Supervisor Prof. Kevin Burrage
Total pages 158
Language eng
Subjects 02 Physical Sciences
Formatted abstract Waveform relaxation (WR) methods have been used as a technique to solve ODEs problems in parallel. In this thesis, the same technique is applied to solve linear stochastic differential equations (SDEs) systems with multiplicative noise. The idea is to implement the WR methods by splitting the deterministic part or both the deterministic and stochastic parts of a SDE at the equation level and to solve different subcomponents of the system independently using previous waveform iterates as inputs. Some various splitting schemes as well as the discrete numerical methods are employed to solve the waveform equations, in this case the semi-implicit and implicit methods are compared. Parallel implementation of this method is also examined by comparing its performance on SGI Origin2000 and 3000 machines at The University of Queensland using different number of processors. The algorithm is written in Fortran90 with OpenMP as the application program interface (API).
Keyword Stochastic differential equations.

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