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Paper detail

Finite element approximations for second order stochastic differential equation driven by fractional Brownian motion

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 $H\le 1/2$. We make use of a sequence of approximate solutions with the fractional noise replaced by its piecewise con- stant approximations to construct the finite element approximations for the equation. The error estimate of the approximations is derived through rigorous convergence analysis.

preprint2017arXivOpen access
Yanzhao CaoJialin HongZhihui Liu
math.NA
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Yanzhao CaoJialin HongZhihui Liu

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