A random Euler scheme for Carathéodory d
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A. Jentzen; A. Neuenkirch
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Article
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2009
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Elsevier Science
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English
⚖ 945 KB
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 proble