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
发表期刊	IMA JOURNAL OF NUMERICAL ANALYSIS
ISSN	0272-4979
卷号	38 期号:1 页码:184-197
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.
关键词	stochastic differential equation of boundary value type fractional Brownian motion piecewise constant approximation finite element approximation
DOI	10.1093/imanum/drx004
语种	英语
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
WOS类目	Mathematics, Applied
WOS记录号	WOS:000424270200007
出版者	OXFORD UNIV PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29630
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.