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A random Euler scheme for Carathéodory differential equations

✍ Scribed by A. Jentzen; A. Neuenkirch

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
945 KB
Volume
224
Category
Article
ISSN
0377-0427

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✦ Synopsis

We study a random Euler scheme for the approximation of Carathéodory differential equations and give a precise error analysis. In particular, we show that under weak assumptions, this approximation scheme obtains the same rate of convergence as the classical Monte-Carlo method for integration problems.

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