Quasi-Monte Carlo simulation of differential equations

DOI10.1515/MCMA-2017-0114zbMath1430.11104OpenAlexW2757320861MaRDI QIDQ1691499

Bachir Djebbar, Aïcha Chouraqui, Christian Lécot

Publication date: 16 January 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2017-0114

zbMATH Keywords

ordinary differential equationsMonte Carlo methodsRunge-Kutta methodsdiscrepancyquasi-Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Pseudo-random numbers; Monte Carlo methods (11K45)

Cites Work

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• Error analysis of a randomized numerical method
• Numerical methods for systems with measurable coefficients
• A quasi-randomized Runge-Kutta method
• On irregularities of distribution
• Quasi-randomized numerical methods for systems with coefficients of bounded variation

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