Article ID Journal Published Year Pages File Type
4641785 Journal of Computational and Applied Mathematics 2009 14 Pages PDF
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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Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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