Time-stepping error bound for a stochastic parabolic Volterra equation disturbed by fractional Brownian motions

DOI10.4208/NMTMA.OA-2017-0153MaRDI QIDQ5210336zbMATH OpenOpenAlexWikidataFDO

Authors Qiu Lin, Ruisheng Qi

Publication date 22 January 2020

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.oa-2017-0153

zbMATH Keywords

fractional Brownian motionoptimal error boundstochastic parabolic Volterra equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Mittag-Leffler functions and generalizations (33E12) Smoothness and regularity of solutions to PDEs (35B65) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Volterra integral equations (45D05) Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Recommendations

• Regularity analysis for SVEEs with additive fBms and strong error estimates for the numerical approximations
• Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion
• Fractional stochastic Volterra equation perturbed by fractional Brownian motion
• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
• Sharp mean-square regularity results for SPDEs with fractional noise and optimal convergence rates for the numerical approximations

Cited in

(4)

• Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion
• Regularity analysis for SVEEs with additive fBms and strong error estimates for the numerical approximations
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Numerical study for a stochastic semilinear subdiffusion equation driven by fractional Brownian motions

This page was built for publication: Time-stepping error bound for a stochastic parabolic Volterra equation disturbed by fractional Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5210336)