Strong error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2 (Q7362026)
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| English | Strong error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2 |
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Strong error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2 (English)
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1 October 2026
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math.NA
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math.PR
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Antoine Tambue
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Aurelien Junior Noupelah
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Louis Aime Fono
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We study error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2 and derive an H-dependent strong temporal convergence rate, reaching H+1/2 under maximal spatial regularity. Numerical experiments confirm the theoretical results, including estimation of the mean solution via Monte Carlo methods.
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Fractional Brownian Motion
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Stochastic PDEs
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Malliavin Calculus
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