Randomised one-step time integration methods for deterministic operator differential equations

Abstract

AbstractUncertainty quantification plays an important role in problems that involve inferring a parameter of an initial value problem from observations of the solution. Conrad et al. (Stat Comput 27(4):1065–1082, 2017) proposed randomisation of deterministic time integration methods as a strategy for quantifying uncertainty due to the unknown time discretisation error. We consider this strategy for systems that are described by deterministic, possibly time-dependent operator differential equations defined on a Banach space or a Gelfand triple. Our main results are strong error bounds on the random trajectories measured in Orlicz norms, proven under a weaker assumption on the local truncation error of the underlying deterministic time integration method. Our analysis establishes the theoretical validity of randomised time integration for differential equations in infinite-dimensional settings.