On the properties of the exceptional set for the randomized Euler and Runge-Kutta schemes

DOI10.1007/s10444-023-10012-8OpenAlexW4321497707MaRDI QIDQ2692799

Tomasz Bochacik

Publication date: 23 March 2023

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.01683

zbMATH Keywords

confidence regionexceptional setrandomized algorithmnoisy informationexplicit and implicit Euler schemestwo-stage Runge-Kutta scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70)

Cites Work

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• Error analysis of a randomized numerical method
• Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
• Numerical probability. An introduction with applications to finance
• On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients
• Randomized Runge-Kutta method -- stability and convergence under inexact information
• The randomized complexity of initial value problems
• A random Euler scheme for Carathéodory differential equations
• Weighted sums of certain dependent random variables

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