On the properties of the exceptional set for the randomized Euler and Runge-Kutta schemes

02/03/2022

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by   Tomasz Bochacik, et al.

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AGH

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We show that the probability of the exceptional set decays exponentially for a broad class of randomized algorithms approximating solutions of ODEs, admitting a certain error decomposition. This class includes randomized explicit and implicit Euler schemes, and the randomized two-stage Runge-Kutta scheme (under inexact information). We design a confidence interval for the exact solution of an IVP and perform numerical experiments to illustrate the theoretical results.