Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
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- 作者：Minoo Kamrani ; a ; b ; m.kamrani@razi.ac.ir" class="auth_mail" title="E-mail the corresponding author ; minookamrani@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Nahid Jamshidia
- 关键词：Stochastic evolution equation ; Fractional Brownian motion ; Galerkin method ; Implicit Euler scheme
- 刊名：Communications in Nonlinear Science and Numerical Simulation
- 出版年：2017
- 出版时间：March 2017
- 年：2017
- 卷：44
- 期：Complete
- 页码：1-10
- 全文大小：630 K
文摘
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Numerical solution of stochastic fractional differential equations is proposed.
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The spatial approximation method is based on Galerkin and the temporal approximation is based on implicit Euler scheme.
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The order on convergence of implicit method for SFDEs is 1.