On the optimal robust solution of IVPs with noisy information (Q261847)

The authors investigate nonlinear initial value problems, where the right-hand side is perturbed either by deterministic or by random noise. More precisely, it is assumed that the norm of the determistic noise is bounded and that the expectation is bounded in case of random noise. The authors present an approximating algorithm and show that the worst case error is bounded independently of the noise distribution. The error depends only on the smoothness of the right-hand side of the differential equation and the size of the noise. Finally, it is shown that the derived error estimation cannot be improved within a class of information evaluations and algorithms.