Probability bounds and asymptotic properties of error propagation

✍ Scribed by Matyas Arato

• Publisher: Elsevier Science
• Year: 1983
• Tongue: English
• Weight: 241 KB
• Volume: 9
• Category: Article
• ISSN: 0898-1221
• DOI: 10.1016/0898-1221(83)90132-3

✦ Synopsis

An

Ito type differential equation is given for the description of accumulated round-off error behavior in integration of systems of ordinary first order differential equations. By a convenient scale transformation sharp boundaries can be gotten for the probability of maximum error. The method used is connected with the estimates of nonexit probabilities of a Wiener process to moving boundary.