Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients

DOI10.1515/cmam-2016-0048zbMath1380.65016arXiv1701.03444OpenAlexW3106144826MaRDI QIDQ1692722

Yue Wu, Raphael Kruse

Publication date: 10 January 2018

Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.03444

zbMATH Keywords

\(L^p\)-convergenceerror boundnumerical experimentalmost sure convergenceCarathéodory differential equationsordinary differential equations with time-irregular coefficientsrandomized Euler methodrandomized Riemann sum quadrature rulerandomized Runge-Kutta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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