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Numerical approximation of the stochastic equation driven by the fractional noise

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  • Liu, Xinfei
  • Yang, Xiaoyuan

Abstract

We consider the time-fractional nonlinear stochastic fourth-order reaction diffusion equation driven by the fractional noise (FSRDE). The FSRDE is discretized by using the mixed finite element method in space and the FBT-θ method in time. Some good techniques are proposed to prove the important lemmas in the proof of the strong convergence and the weak convergence. By proving the error estimates on the strong and weak convergence, we find the strong convergence and the weak convergence have the same convergence rate, and the convergence order is related to the fractional noise derivative β but not to the time fractional derivative α and the discrete format coefficient θ. Finally, the theorems on the strong and weak convergence are verified by the numerical tests.

Suggested Citation

  • Liu, Xinfei & Yang, Xiaoyuan, 2023. "Numerical approximation of the stochastic equation driven by the fractional noise," Applied Mathematics and Computation, Elsevier, vol. 452(C).
    • Handle: RePEc:eee:apmaco:v:452:y:2023:i:c:s0096300323002229
    DOI: 10.1016/j.amc.2023.128053
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    References listed on IDEAS

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    1. Chen, Zhen-Qing & Kim, Kyeong-Hun & Kim, Panki, 2015. "Fractional time stochastic partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1470-1499.
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