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Spectral collocation method for stochastic partial differential equations with fractional Brownian motion
Journal of Computational and Applied Mathematics ( IF 2.4 ) Pub Date : 2021-01-01 , DOI: 10.1016/j.cam.2020.113369
Mahdieh Arezoomandan , Ali R. Soheili

In this paper, we consider the numerical approximation of stochastic partial differential equations driven by infinite dimensional fractional Brownian motion with Hurst index H>12. A Fourier spectral collocation approximation is used in space and semi-implicit Euler method is applied for the temporal approximation. Our aim is to investigate the convergence of the proposed method. Optimal strong convergence error estimates in mean-square sense are derived and numerical experiments are presented and confirm theoretical results.



中文翻译:

分数布朗运动的随机偏微分方程的谱配置方法

在本文中,我们考虑由具有Hurst指数的无穷维分数布朗运动驱动的随机偏微分方程的数值逼近 H>1个2。在空间中使用傅立叶频谱配置近似,并且在时间近似中使用半隐式欧拉方法。我们的目的是研究所提出方法的收敛性。推导了均方意义上的最优强收敛误差估计,并进行了数值实验并证实了理论结果。

更新日期:2021-01-12
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