APPROXIMATING STOCHASTIC EVOLUTION EQUATIONS WITH ADDITIVE WHITE AND ROUGH NOISES
文献类型：期刊论文
| 作者 | Cao, Yanzhao1,2; Hong, Jialin3 ; Liu, Zhihui3
|
| 刊名 | SIAM JOURNAL ON NUMERICAL ANALYSIS
 |
| 出版日期 | 2017 |
| 卷号 | 55期号:4页码:1958-1981 |
| 关键词 | stochastic evolution equation fractional Brownian motion Wong-Zakai approximation Galerkin approximation |
| ISSN号 | 0036-1429 |
| DOI | 10.1137/16M1056122 |
| 英文摘要 | In this paper, we analyze Galerkin approximations for stochastic evolution equations driven by an additive Gaussian noise which is temporally white and spatially fractional with Hurst index less than or equal to 1/2. First we regularize the noise by the Wong-Zakai approximation and obtain its optimal order of convergence. Then we apply the Galerkin method to discretize the stochastic evolution equations with regularized noises. Optimal error estimates are obtained for the Galerkin approximations. In particular, our error estimates remove an infinitesimal factor which appears in the error estimates of various numerical methods for stochastic evolution equations in existing literatures. |
| 资助项目 | National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[91530118] ; National Natural Science Foundation of China[11290142] ; U.S. National Science Foundation[DMS1620150] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000408925300017 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/26457]  |
| 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.Jilin Univ, Sch Math, Changchun, Jilin, Peoples R China 2.Auburn Univ, Dept Math & Stat, Auburn, AL 36849 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Cao, Yanzhao,Hong, Jialin,Liu, Zhihui. APPROXIMATING STOCHASTIC EVOLUTION EQUATIONS WITH ADDITIVE WHITE AND ROUGH NOISES[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2017,55(4):1958-1981. |
| APA | Cao, Yanzhao,Hong, Jialin,&Liu, Zhihui.(2017).APPROXIMATING STOCHASTIC EVOLUTION EQUATIONS WITH ADDITIVE WHITE AND ROUGH NOISES.SIAM JOURNAL ON NUMERICAL ANALYSIS,55(4),1958-1981. |
| MLA | Cao, Yanzhao,et al."APPROXIMATING STOCHASTIC EVOLUTION EQUATIONS WITH ADDITIVE WHITE AND ROUGH NOISES".SIAM JOURNAL ON NUMERICAL ANALYSIS 55.4(2017):1958-1981. |
入库方式： OAI收割
来源：数学与系统科学研究院
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