A full discretization of the rough fractional linear heat equation

DOI10.1214/22-EJP839MaRDI QIDQ6368010arXivFDO

Authors A. Deya, Renaud Marty

Publication date 19 May 2021

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Heat equation (35K05) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical analysis (65-XX)

Abstract: We study a full discretization scheme for the stochastic linear heat equation �egin{equation*}�egin{cases}partial_t langlePsi angle = Delta langlePsi angle +dot{B}, , quad tin [0,1], xin mathbb{R},\ langlePsi angle_0=0, ,end{cases}end{equation*} when $dotB$ is a very emph{rough space-time fractional noise}. The discretization procedure is divised into three steps: $(i)$ regularization of the noise through a mollifying-type approach; $(ii)$ discretization of the (smoothened) noise as a finite sum of Gaussian variables over rectangles in $[0,1]imesmathbbR$; $(iii)$ discretization of the heat operator on the (non-compact) domain $[0,1]imesmathbbR$, along the principles of Galerkin finite elements method. We establish the convergence of the resulting approximation to $langlePsiangle$, which, in such a specific rough framework, can only hold in a space of distributions. We also provide some partial simulations of the algorithm.

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