Title of article
A random Euler scheme for Carathéodory differential equations
Author/Authors
Walter Jentzen، نويسنده , , A. and Neuenkirch، نويسنده , , A.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
14
From page
346
To page
359
Abstract
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.
Keywords
Euler scheme , Monte–Carlo methods , Carathéodory differential equations
Journal title
Journal of Computational and Applied Mathematics
Serial Year
2009
Journal title
Journal of Computational and Applied Mathematics
Record number
1554803
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