Spectral collocation method for stochastic partial differential equations with fractional Brownian motion

DOI10.1016/J.CAM.2020.113369MaRDI QIDQ2226294zbMATH OpenOpenAlexWikidataFDO

Authors Mahdieh Arezoomandan, Ali R. Soheili

Publication date 11 February 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2020.113369

zbMATH Keywords

infinite-dimensional fractional Brownian motionspectral collocation methodstochastic partial differential equationsstrong convergence rates

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• Fractional Brownian Motions, Fractional Noises and Applications
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• Implicit Euler method for numerical solution of nonlinear stochastic partial differential equations with multiplicative trace class noise
• On the discretization in time of parabolic stochastic partial differential equations
• Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion
• Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise
• Optimal regularity for semilinear stochastic partial differential equations with multiplicative noise
• Semigroups of linear operators and applications to partial differential equations
• Semilinear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion
• Stochastic Equations in Infinite Dimensions
• Taylor approximations for stochastic partial differential equations
• The numerical approximation of stochastic partial differential equations

Cited in

(10)

• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
• Convergence and stability of spectral collocation method for hyperbolic partial differential equation with piecewise continuous arguments
• Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations
• Sharp mean-square regularity results for SPDEs with fractional noise and optimal convergence rates for the numerical approximations
• Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion
• A Unified Convergence Analysis for the Fractional Diffusion Equation Driven by Fractional Gaussian Noise with Hurst Index $H\in(0,1)$
• Fourier spectral methods for some linear stochastic space-fractional partial differential equations
• Finite element approximation of the linearized stochastic Cahn-Hilliard equation with fractional Brownian motion
• Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion
• Efficient discretization of fractional SPDEs via Galerkin and exponential Euler methods

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