Approximating Stochastic Evolution Equations with Additive White and Rough Noises
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Publication:4978201
fractional Brownian motionGalerkin approximationstochastic evolution equationWong-Zakai approximation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Abstract: In this paper, we analyze Galerkin approximations for stochastic evolution equations driven by an additive Gaussian noise which is temporally white and spatially fractional with Hurst index less than or equal to . First we regularize the noise by the Wong-Zakai approximation and obtain its optimal order of convergence. Then we apply the Galerkin method to discretize the stochastic evolution equations with regularized noises. Optimal error estimates are obtained for the Galerkin approximations. In particular, our error estimates remove an infinitesimal factor which appears in the error estimates of various numerical methods for stochastic evolution equations in existing literatures.
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Cited in
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