The randomized complexity of initial value problems (Q2483198)

The randomized solution of initial value problems for ordinary differential equations is studied. Almost optimal bounds on the complexity are known [cf. \textit{B. Kacewicz}, J. Complexity 22, No.~5, 676--690 (2006; Zbl 1111.65063)]. For this purpose algorithms are considered whose error/cost properties improve rapidly from step to step. Using an algorithm based on Taylor Monte Carlo methods, the exact order of the randomized minimal error is established.