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

doi:10.1093/imanum/drx004

	Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion
	Cao, Yanzhao 1; Hong, Jialin2 ; Liu, Zhihui 2
	2018
Source Publication	IMA JOURNAL OF NUMERICAL ANALYSIS
ISSN	0272-4979
Volume	38 Issue:1 Pages:184-197
Abstract	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.
Keyword	stochastic differential equation of boundary value type fractional Brownian motion piecewise constant approximation finite element approximation
DOI	10.1093/imanum/drx004
Language	英语
Funding Project	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 Research Area	Mathematics
WOS Subject	Mathematics, Applied
WOS ID	WOS:000424270200007
Publisher	OXFORD UNIV PRESS
Citation statistics
Document Type	期刊论文
Identifier	http://ir.amss.ac.cn/handle/2S8OKBNM/29630
Collection	计算数学与科学工程计算研究所
Corresponding Author	Liu, Zhihui
Affiliation	1.Auburn Univ, Dept Math & Stat, Auburn, AL 36849 USA 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Recommended Citation 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.

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