A random Euler scheme for Carathéodory differential equations |
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| Authors: | A. Jentzen A. Neuenkirch |
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| Affiliation: | Johann Wolfgang Goethe-Universität Frankfurt, Institut für Mathematik, Robert-Mayer-Street 6-10, D-60325 Frankfurt am Main, Germany |
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| 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. |
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| Keywords: | Carathé odory differential equations Euler scheme Monte&ndash Carlo methods |
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