On the optimal robust solution of IVPs with noisy information

DOI10.1007/s11075-015-0006-6zbMath1343.65085OpenAlexW956314406MaRDI QIDQ261847

Paweł Przybyłowicz, Bolesław Kacewicz

Publication date: 24 March 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-015-0006-6

zbMATH Keywords

algorithmnonlinear initial value problemsoptimal solutionworst case errordeterministic noiseminimal costnoisy informationrandom noise

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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)

Related Items (5)

Optimal pointwise approximation of SDE's from inexact information ⋮ Euler scheme for approximation of solution of nonlinear ODEs under inexact information ⋮ Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information ⋮ Optimal approximation of stochastic integrals in analytic noise model ⋮ Randomized Runge-Kutta method -- stability and convergence under inexact information

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