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

Tomasz Bochacik

Published 2022-02-03Version 1

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.