A random Euler scheme for Carathéodory differential equations
From MaRDI portal
Publication:2519725
DOI10.1016/j.cam.2008.05.060zbMath1160.65003OpenAlexW1964323515MaRDI QIDQ2519725
Arnulf Jentzen, Andreas Neuenkirch
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
Monte Carlo methods (65C05) Nonlinear ordinary differential equations and systems (34A34) Numerical methods for initial value problems involving ordinary differential equations (65L05) Error bounds for numerical methods for ordinary differential equations (65L70)
Related Items
Optimal pointwise approximation of SDE's from inexact information, On a stochastic neuronal model integrating correlated inputs, Modification of the random differential transformation method and its applications to compartmental models, Nonasymptotic bounds for sampling algorithms without log-concavity, Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise, Existence, uniqueness and approximation of solutions to Carathéodory delay differential equations, A note on the probabilistic stability of randomized Taylor schemes, Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients, On approximation of solutions of stochastic delay differential equations via randomized Euler scheme, Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information, An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises, On the properties of the exceptional set for the randomized Euler and Runge-Kutta schemes, Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm, Approximation of solutions to second order nonlinear Picard problems with Carathéodory right-hand side, Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting, A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises, Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients, On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients, Randomized Runge-Kutta method -- stability and convergence under inexact information, A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations, Pathwise Taylor schemes for random ordinary differential equations, Strong convergence rates of probabilistic integrators for ordinary differential equations, Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients, On the randomized Euler schemes for ODEs under inexact information, Unnamed Item, Space-Time Approximation of Stochastic $p$-Laplace-Type Systems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Runge-Kutta methods for affinely controlled nonlinear systems
- Random differential equations as models of ecosystems: Monte Carlo simulation approach
- Random differential equations in science and engineering
- Error analysis of a randomized numerical method
- QMC methods for the solution of delay differential equations.
- Numerical methods for systems with measurable coefficients
- Higher order numerical approximation of switching systems
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- A quasi-randomized Runge-Kutta method
- Random Transverse Vibrations of a One-sided Fixed Beam and Model Reduction
- Quasi-randomized numerical methods for systems with coefficients of bounded variation
- Higher order numerical schemes for affinely controlled nonlinear systems
