Title: Strong convergence rates of probabilistic integrators for ordinary differential equations,
Abstract: Probabilistic integration of a continuous dynamical system is a way of
systematically introducing model error, at scales no larger than errors
introduced by standard numerical discretisation, in order to enable thorough
exploration of possible responses of the system to inputs. It is thus a
potentially useful approach in a number of applications such as forward
uncertainty quantification, inverse problems, and data assimilation. We extend
the convergence analysis of probabilistic integrators for deterministic
ordinary differential equations, as proposed by Conrad et al.\ (\textit{Stat.\
Comput.}, 2016), to establish mean-square convergence in the uniform norm on
discrete- or continuous-time solutions under relaxed regularity assumptions on
the driving vector fields and their induced flows. Specifically, we show that
randomised high-order integrators for globally Lipschitz flows and randomised
Euler integrators for dissipative vector fields with polynomially-bounded local
Lipschitz constants all have the same mean-square convergence rate as their
deterministic counterparts, provided that the variance of the integration noise
is not of higher order than the corresponding deterministic integrator. These
and similar results are proven for probabilistic integrators where the random
perturbations may be state-dependent, non-Gaussian, or non-centred random
variables.