A random Euler scheme for Carathéodory differential equations

DOI10.1016/j.cam.2008.05.060zbMath1160.65003MaRDI QIDQ2519725

Andreas Neuenkirch, Arnulf Jentzen

Publication date: 27 January 2009

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.2008.05.060

zbMATH Keywords

numerical example; error bound; Monte-Carlo method; random Euler scheme; Caratheodory differential equation

Mathematics Subject Classification ID

65C05: Monte Carlo methods

34A34: Nonlinear ordinary differential equations and systems

65L05: Numerical methods for initial value problems involving ordinary differential equations

65L70: Error bounds for numerical methods for ordinary differential equations

Related Items

Pathwise Taylor schemes for random ordinary differential equations, Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients

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