Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion

doi:10.1093/imanum/drx004

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 计算数学与科学工程计算研究所

	Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion
	Cao, Yanzhao 1; Hong, Jialin2 ; Liu, Zhihui 2
刊名	IMA JOURNAL OF NUMERICAL ANALYSIS
	2018
卷号	38 期号:1 页码:184-197
关键词	stochastic differential equation of boundary value type fractional Brownian motion piecewise constant approximation finite element approximation
ISSN号	0272-4979
DOI	10.1093/imanum/drx004
英文摘要	We consider finite element approximations for a one-dimensional second-order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index H <= 1/2. We make use of a sequence of approximate solutions with the fractional noise replaced by its piecewise constant approximations to construct the finite element approximations for the equation. The error estimate of the approximations is derived through rigorous convergence analysis.
资助项目	Natural Science Foundation of China[91530118] ; Natural Science Foundation of China[91130003] ; Natural Science Foundation of China[11021101] ; Natural Science Foundation of China[11290142]
WOS研究方向	Mathematics
语种	英语
出版者	OXFORD UNIV PRESS
WOS记录号	WOS:000424270200007
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/29629]
专题	计算数学与科学工程计算研究所
通讯作者	Liu, Zhihui
作者单位	1.Auburn Univ, Dept Math & Stat, Auburn, AL 36849 USA 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Cao, Yanzhao,Hong, Jialin,Liu, Zhihui. Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion[J]. IMA JOURNAL OF NUMERICAL ANALYSIS,2018,38(1):184-197.
APA	Cao, Yanzhao,Hong, Jialin,&Liu, Zhihui.(2018).Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion.IMA JOURNAL OF NUMERICAL ANALYSIS,38(1),184-197.
MLA	Cao, Yanzhao,et al."Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion".IMA JOURNAL OF NUMERICAL ANALYSIS 38.1(2018):184-197.