中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 计算数学与科学工程计算研究所
Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion

文献类型：期刊论文

作者Cao, Yanzhao1; Hong, Jialin2; Liu, Zhihui2
刊名IMA JOURNAL OF NUMERICAL ANALYSIS
出版日期2018
卷号38期号:1页码:184-197
关键词stochastic differential equation of boundary value type fractional Brownian motion piecewise constant approximation finite element approximation
ISSN号0272-4979
DOI10.1093/imanum/drx004
英文摘要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.
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
语种英语
WOS记录号WOS:000424270200007
出版者OXFORD UNIV PRESS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/29629]  
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.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。