Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641785 | Journal of Computational and Applied Mathematics | 2009 | 14 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
A. Jentzen, A. Neuenkirch,