Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion

被引：21
作者：
Kamrani, Minoo [1 ,2 ]
Jamshidi, Nahid [1 ]
机构：
[1] Razi Univ, Fac Sci, Dept Math, Kermanshah 67149, Iran
[2] Inst Res Fundamental Sci IPM, Sch Math, POB 19395-5746, Tehran, Iran
来源：
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2017年 / 44卷
关键词：
Stochastic evolution equation; Fractional Brownian motion; Galerkin method; Implicit Euler scheme; DRIVEN;
D O I：
10.1016/j.cnsns.2016.07.023
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This work was intended as an attempt to motivate the approximation of quasi linear evolution equations driven by infinite-dimensional fractional Brownian motion with Hurst parameter H > 1/2. The spatial approximation method is based on Galerkin and the temporal approximation is based on implicit Euler scheme. An error bound and the convergence of the numerical method are given. The numerical results show usefulness and accuracy of the method. (C) 2016 Elsevier B.V. All rights reserved.
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收藏
页码：1 / 10
页数：10
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