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
@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},
}
%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
