Error analysis of a randomized numerical method

DOI10.1007/s002110050113zbMath0817.65058OpenAlexW2030044188MaRDI QIDQ1347032

Gilbert Stengle

Publication date: 6 August 1995

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002110050113

zbMATH Keywords

performancesprobabilistic error estimaterandom Runge-Kutta methodsrandom single-step methodrandomized numerical methods

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Related Items (20)

Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise ⋮ Quasi-Monte Carlo simulation of differential equations ⋮ A note on the probabilistic stability of randomized Taylor schemes ⋮ Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients ⋮ On the properties of the exceptional set for the randomized Euler and Runge-Kutta schemes ⋮ Statistical analysis of differential equations: introducing probability measures on numerical solutions ⋮ Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm ⋮ Approximation of solutions to second order nonlinear Picard problems with Carathéodory right-hand side ⋮ Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting ⋮ Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients ⋮ The randomized complexity of initial value problems ⋮ On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients ⋮ Quasi-randomized numerical methods for systems with coefficients of bounded variation ⋮ QMC Methods for the solution of delay differential equations ⋮ Randomized Runge-Kutta method -- stability and convergence under inexact information ⋮ A random Euler scheme for Carathéodory differential equations ⋮ QMC methods for the solution of delay differential equations. ⋮ On the randomized Euler schemes for ODEs under inexact information ⋮ Probabilistic analysis on the splitting-shooting method for image transformations ⋮ A quasi-randomized Runge-Kutta method

This page was built for publication: Error analysis of a randomized numerical method