Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion

被引：18

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.

引用

页码：1 / 10

页数：10

共 50 条

[31] Stochastic Volterra equations driven by fractional Brownian motion
Xiliang Fan
Frontiers of Mathematics in China, 2015, 10 : 595 - 620
[32] Stochastic Volterra equations driven by fractional Brownian motion
Fan, Xiliang
FRONTIERS OF MATHEMATICS IN CHINA, 2015, 10 (03) : 595 - 620
[33] Stochastic differential equations driven by fractional Brownian motion
Xu, Liping
Luo, Jiaowan
STATISTICS & PROBABILITY LETTERS, 2018, 142 : 102 - 108
[34] T-Stability of the Euler Method for Impulsive Stochastic Differential Equations Driven by Fractional Brownian Motion
Yu, Hui
FILOMAT, 2018, 32 (18) : 6493 - 6503
[35] The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion
Caraballo, T.
Garrido-Atienza, M. J.
Taniguchi, T.
NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS, 2011, 74 (11) : 3671 - 3684
[36] Existence of Mild Solutions to Stochastic Delay Evolution Equations with a Fractional Brownian Motion and Impulses
Boudaoui, Ahmed
Caraballo, Tomas
Ouahab, Abdelghani
STOCHASTIC ANALYSIS AND APPLICATIONS, 2015, 33 (02) : 244 - 258
[37] Transportation inequalities for coupled systems of stochastic delay evolution equations with a fractional Brownian motion
Caraballo, Tomas
Boudaoui, Ahmed
Tayeb, Blouhi
STOCHASTIC ANALYSIS AND APPLICATIONS, 2022, 40 (01) : 45 - 62
[38] Impulsive stochastic fractional differential equations driven by fractional Brownian motion
Abouagwa, Mahmoud
Cheng, Feifei
Li, Ji
ADVANCES IN DIFFERENCE EQUATIONS, 2020, 2020 (01)
[39] Nonlocal fractional stochastic differential equations driven by fractional Brownian motion
Jingyun Lv
Xiaoyuan Yang
Advances in Difference Equations, 2017
[40] Nonlocal fractional stochastic differential equations driven by fractional Brownian motion
Lv, Jingyun
Yang, Xiaoyuan
ADVANCES IN DIFFERENCE EQUATIONS, 2017,

← 1 2 3 4 5 →