Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion

DOI10.1016/j.cnsns.2016.07.023zbMath1462.60098OpenAlexW2503269651MaRDI QIDQ2005024

Nahid Jamshidi, Minoo Kamrani

Publication date: 7 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.07.023

zbMATH Keywords

Galerkin methodfractional Brownian motionimplicit Euler schemestochastic evolution equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Unnamed Item ⋮ Regularity analysis for SVEEs with additive fBms and strong error estimates for the numerical approximations ⋮ The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\) ⋮ Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\) ⋮ Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion ⋮ The Convergence of exponential Euler method for weighted fractional stochastic equations ⋮ Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion ⋮ Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion ⋮ Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure

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