How to specify an approximate numerical result

MaRDI QIDQ5449314zbMATH OpenFDO

Authors Nicolas Bouleau

Publication date 11 March 2008

Full work available at URL https://arxiv.org/abs/1301.7249

zbMATH Keywords

Dirichlet formserror calculus

Mathematics Subject Classification ID

Dirichlet forms (31C25) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Error probability in coding theory (94B70)

Abstract: The Dirichlet forms methods, in order to represent errors and their propagation, are particularly powerful in infinite dimensional problems such as models involving stochastic analysis encountered in finance or physics, cf. [5]. Now, coming back to the finite dimensional case, these methods give a new light on the very classical concept of 'numerical approximation' and suggest changes in the habits. We show that for some kinds of approximations only an Ito-like second order differential calculus is relevant to describe and propagate numerical errors through a mathematical model. We call these situations strongly stochastic. The main point of this work is an argument based on the arbitrary functions principle of Poincar'e-Hopf showing that the errors due to measurements with graduated instruments are strongly stochastic. Eventually we discuss the consequences of this phenomenon on the specification of an approximate numerical result.

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Cited in

(2)

• Some historical aspects of error calculus by Dirichlet forms
• Probabilistic approach to characterize quantitative uncertainty in numerical approximations

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