On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients
For researchers solving evolution equations with irregular time dependence, this provides a convergent numerical method with proven rates under weaker conditions than existing deterministic schemes.
The paper introduces a randomized backward Euler method for stiff ODEs and nonlinear evolution equations with time-irregular coefficients, proving convergence with a rate of 0.5 in the root-mean-square norm under minimal regularity assumptions, and extends the results to infinite-dimensional settings with Galerkin finite element methods.
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 numerical solution 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.