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On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients. (English) Zbl 07135262

Summary: 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.

MSC:

65C05 Monte Carlo methods
65L05 Numerical methods for initial value problems involving ordinary differential equations
65L20 Stability and convergence of numerical methods for ordinary differential equations
65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
65M60 Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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SyFi; RODAS; FEniCS
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References:

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