Strong error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2

DOI10.48550/arXiv.2610.02412MaRDI QIDQ7362026arXivFDO

Authors Antoine Tambue, Louis Aime Fono, Aurelien Junior Noupelah

Publication date 1 October 2026

Published in arXiv

Tldr We study error analysis of a stochastic exponential integrator for SPDEs driven by fractional Brownian motion with H<1/2 and derive an H-dependent strong temporal convergence rate, reaching H+1/2 under maximal spatial regularity. Numerical experiments confirm the theoretical results, including estimation of the mean solution via Monte Carlo methods.

Full work available at URL https://doi.org/10.48550/arXiv.2610.02412

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

arXiv classification

math.NAmath.PR

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