Related papers: Higher order approximation for stochastic wave equ…
We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H>1/2$. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved…
The numerical approximation of the solution to a stochastic partial differential equation with additive spatial white noise on a bounded domain is considered. The differential operator is assumed to be a fractional power of an integer order…
A stochastic leap-frog algorithm for the numerical integration of Brownian motion stochastic differential equations with multiplicative noise is proposed and tested. The algorithm has a second-order convergence of moments in a finite time…
In this paper, we investigate large-scale linear systems driven by a fractional Brownian motion (fBm) with Hurst parameter $H\in [1/2, 1)$. We interpret these equations either in the sense of Young ($H>1/2$) or Stratonovich ($H=1/2$).…
Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Internet traffic modeling. Multifractional Brownian motion (mBm) is…
We investigate the quality of space approximation of a class of stochastic integral equations of convolution type with Gaussian noise. Such equations arise, for example, when considering mild solutions of stochastic fractional order partial…
In this article we study effects that small perturbations in the noise have to the solution of differential equations driven by H\"older continuous functions of order $H>\frac12$. As an application, we consider stochastic differential…
This paper analyzes a space-time finite element method for fractional wave problems. The method uses a Petrov-Galerkin type time-stepping scheme to discretize the time fractional derivative of order $ \gamma $ ($1<\gamma<2$). We establish…
The semilinear stochastic wave equation on the sphere driven by multiplicative Gaussian noise is discretized by a stochastic trigonometric integrator in time and a spectral Galerkin approximation in space based on the spherical harmonic…
The time evolution of complex systems usually can be described through stochastic processes. These processes are measured at finite resolution, what necessarily reduces them to finite sequences of real numbers. In order to relate these data…
This paper gives the exact solution in terms of the Karhunen-Lo\`{e}ve expansion to a fractional stochastic partial differential equation on the unit sphere $\mathbb{S}^{2}\subset \mathbb{R}^{3}$ with fractional Brownian motion as driving…
We introduce a very weak space-time variational formulation for the wave equation, prove its well-posedness (even in the case of minimal regularity) and optimal inf-sup stability. Then, we introduce a tensor product-style space-time…
Stochastic integration with respect to Gaussian processes, such as fractional Brownian motion (fBm) or multifractional Brownian motion (mBm), has raised strong interest in recent years, motivated in particular by applications in finance,…
The aim of this work is to devise and analyse an accurate numerical scheme to solve Erd\'elyi-Kober fractional diffusion equation. This solution can be thought as the marginal pdf of the stochastic process called the generalized grey…
In this paper, we analyze a semi-discrete finite volume scheme for the three-dimensional barotropic compressible Euler equations driven by a multiplicative Brownian noise. We derive necessary a priori estimates for numerical approximations,…
We investigate the problem of the rate of convergence to equilibrium for ergodic stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\textgreater{}1/2$ and multiplicative noise component $\sigma$.…
The $d$-dimensional fractional Brownian motion (FBM for short) $B_t=((B_t^{(1)},...,B_t^{(d)}),t\in\mathbb{R})$ with Hurst exponent $\alpha$, $\alpha\in(0,1)$, is a $d$-dimensional centered, self-similar Gaussian process with covariance…
In this paper, we consider the strong convergence of the time-space fractional diffusion equation driven by fractional Gaussion noise with Hurst index $H\in(\frac{1}{2},1)$. A sharp regularity estimate of the mild solution and the numerical…
A fully discrete approximation of the linear stochastic wave equation driven by additive noise is presented. A standard finite element method is used for the spatial discretisation and a stochastic trigonometric scheme for the temporal…
This paper is devoted to the numerical analysis of a fully discrete finite element approximation for the stochastic Benjamin-Bona-Mahony equation driven by multiplicative noise. We first establish the existence and uniqueness of solutions…