Mittag-Leffler Euler integrator for a stochastic fractional order equation with additive noise
Preprint, 2018

A semilinear stochastic fractional order equation, and its deterministic counterpart, is considered. Full discretization of the model problem is carried out and optimal strong rate of convergence is proved, which is (almost) twice the rate of the rate for the implicit Euler method. A generalised exponential Euler method, named here as the Mittag-Leffler Euler integrator, is used for the temporal discretization. Spatial discretization by the spectral Galerkin method is then performed. The framework allows for nonlinearities from a general class of Nemytskij operators. Multiple spatial dimension is allowed when the noise is of trace class. Numerical experiments are presented to validate the theory.

stochastic differential equations.

strong conver- gence

fractional equations

integro-differential equations

Riesz kernel

Euler integrator

Författare

Mihaly Kovacs

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Stig Larsson

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Fardin Saedpanah

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Ämneskategorier

Beräkningsmatematik

Fundament

Grundläggande vetenskaper

Mer information

Skapat

2018-09-29