Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
This work offers theoretical guarantees for numerical methods solving ODEs with non-smooth coefficients, which is relevant for applications in stochastic or singular problems.
The paper provides error bounds for two randomized Runge-Kutta methods applied to ODEs with time-irregular coefficients, achieving convergence rates in both L^p and almost sure senses.
This paper contains an error analysis of two randomized explicit Runge-Kutta schemes for ordinary differential equations (ODEs) with time-irregular coefficient functions. In particular, the methods are applicable to ODEs of Carathéodory type, whose coefficient functions are only integrable with respect to the time variable but are not assumed to be continuous. A further field of application are ODEs with coefficient functions that contain weak singularities with respect to the time variable. The main result consists of precise bounds for the discretization error with respect to the $L^p(Ω;\mathbb{R}^d)$-norm. In addition, convergence rates are also derived in the almost sure sense. An important ingredient in the analysis are corresponding error bounds for the randomized Riemann sum quadrature rule. The theoretical results are illustrated through a few numerical experiments.