Journal of Computational and Applied Mathematics, ( ISI ), Volume (389), Year (2021-6)

Title : ( Spectral collocation method for stochastic partial differential equations with fractional Brownian motion )

Authors: Mahdieh Arezoomandan , Ali Reza Soheili ,

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Abstract

In this paper, we consider the numerical approximation of stochastic partial differential equations driven by infinite dimensional fractional Brownian motion with Hurst index H >1/2. A Fourier spectral collocation approximation is used in space and semi-implicit Euler method is applied for the temporal approximation. Our aim is to investigate the convergence of the proposed method. Optimal strong convergence error estimates in mean-square sense are derived and numerical experiments are presented and confirm theoretical results.

Keywords

, stochastic partial differential equations, infinite dimensional fractional Brownian motion, spectral collocation method, strong convergence rates
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@article{paperid:1082824,
author = {Arezoomandan, Mahdieh and Soheili, Ali Reza},
title = {Spectral collocation method for stochastic partial differential equations with fractional Brownian motion},
journal = {Journal of Computational and Applied Mathematics},
year = {2021},
volume = {389},
month = {June},
issn = {0377-0427},
keywords = {stochastic partial differential equations; infinite dimensional fractional Brownian motion; spectral collocation method; strong convergence rates},
}

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%0 Journal Article
%T Spectral collocation method for stochastic partial differential equations with fractional Brownian motion
%A Arezoomandan, Mahdieh
%A Soheili, Ali Reza
%J Journal of Computational and Applied Mathematics
%@ 0377-0427
%D 2021

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