Title: A random Euler scheme for Carathéodory differential equations
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.
Publication Year: 2009
Publication Date: 2009-02-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 32
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