On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients
Journal article, 2019

In this paper, we introduce a randomized version of the backward Euler method that is applicable to stiff ordinary differential equations and nonlinear evolution equations with time-irregular coefficients. In the finite-dimensional case, we consider Carathéodory-type functions satisfying a one-sided Lipschitz condition. After investigating the well-posedness and the stability properties of the randomized scheme, we prove the convergence to the exact solution with a rate of 0.5 in the root-mean-square norm assuming only that the coefficient function is square integrable with respect to the temporal parameter. These results are then extended to the approximation of infinite-dimensional evolution equations under monotonicity and Lipschitz conditions. Here, we consider a combination of the randomized backward Euler scheme with a Galerkin finite element method. We obtain error estimates that correspond to the regularity of the exact solution. The practicability of the randomized scheme is also illustrated through several numerical experiments.

Monte Carlo method Evolution equations Ordinary differential equations Backward Euler method Galerkin finite element method

Author

Monika Eisenmann

Mihaly Kovacs

Chalmers, Mathematical Sciences, Applied Mathematics and Statistics

Raphael Kruse

Stig Larsson

Chalmers, Mathematical Sciences, Applied Mathematics and Statistics

Foundations of Computational Mathematics

1615-3375 (ISSN) 1615-3383 (eISSN)

Subject Categories

Computational Mathematics

Probability Theory and Statistics

Mathematical Analysis

Roots

Basic sciences

DOI

10.1007/s10208-018-09412-w

More information

Created

1/10/2019