On the randomized Euler algorithm under inexact information

DOI10.1016/J.CAM.2025.117070MaRDI QIDQ6894196zbMATH OpenFDO

Authors Marcin Baranek, Andrzej Kałuża, Paweł M. Morkisz, Paweł Przybyłowicz, Michał Sobieraj

Publication date 25 November 2025

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2025.117070

zbMATH Keywords

inexact informationlower boundsoptimalityrandomized Euler algorithmstochastic differential equationsWiener process

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Analysis of algorithms and problem complexity (68Q25)

Cites work

• A random Euler scheme for Carathéodory differential equations
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Approximation of piecewise Hölder functions from inexact information
• Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
• Noisy Information and Computational Complexity
• Noisy information: optimality, complexity, tractability
• On the minimal cost of approximating linear problems based on information with deterministic noise
• On the optimal robust solution of IVPs with noisy information
• On the properties of the exceptional set for the randomized Euler and Runge-Kutta schemes
• On the randomized Euler schemes for ODEs under inexact information
• Optimal approximation of stochastic integrals in analytic noise model
• Optimal estimation theory for dynamic systems with set membership uncertainty: An overview
• Optimal pointwise approximation of SDE's from inexact information
• Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
• Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
• The complexity of definite elliptic problems with noisy data
• The complexity of indefinite elliptic problems with noisy data

Cited in

(1)

• Error of randomized Milstein scheme for scalar SDEs with noisy information about coefficients and Wiener process

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