Numerical methods for systems with measurable coefficients
The initial value problem for the n-dimensional system \(dy/dt=f(t,y)\), \(y(t_ 0)=y_ 0\), where f is smooth in y and bounded and measurable in t, is considered. A family of numerical algorithms to solve this problem, which is loosely akin to the Runge-Kutta method, is given. Firstly a discretization with respect to y is done and the dependence on t is retained only through mean properties. Mean values of m-fold self- substitution of f are allowed at m different values of t. By estimating the resulting means with Monte Carlo simulation one obtains actual numerical procedures, named Runge-Kutta Monte Carlo (RKMC) methods, which simulate estimates in the statistical sense for the solution. One parameter families of second and third order RKMC methods are emphasized and it is stated that these algorithms give stable, qualitative correct answers with a small number of steps, which can be insufficient for a Runge-Kutta method of the same order to give meaningful results.
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- Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
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- The randomized complexity of initial value problems
- A random Euler scheme for Carathéodory differential equations
- Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise
- Quasi-randomized numerical methods for systems with coefficients of bounded variation
- A note on the probabilistic stability of randomized Taylor schemes
- Mathematical analysis of a randomized method for fractional Carathéodory type equation with time-irregular coefficients
- Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting
- Randomized Runge-Kutta-Nyström methods for unadjusted Hamiltonian and kinetic Langevin Monte Carlo
- The randomized Milstein scheme for stochastic Volterra integral equations with weakly singular kernels
- Convergence and stability of randomized implicit two-stage Runge-Kutta schemes
- Application of randomized quadrature formulas to the finite element method for elliptic equations
- Random ordinate method for mitigating the ray effect in radiative transport equation simulations
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