arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2007.14193math.NAcs.NA
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分数阶Gauss噪声驱动的分数阶扩散方程格式的Strong convergence阶

Strong convergence order for the scheme of fractional diffusion equation driven by fractional Gaussion noise

Daxin Nie, Jing Sun, Weihua Deng

摘要:

分数高斯噪声模型的时间序列与长期的依赖性,当赫斯特指数$H>1/2$,它具有正相关反映了一个持久的自相关结构。研究了分数阶高斯噪声驱动的随机分数阶扩散方程的数值方法。利用算子理论的方法,我们给出了该问题的温和解的正则性估计和空间上有限元逼近和时间上向后Euler卷积求积的全离散格式.给出了时间上的$\mathcal{O}(τ^{H-ρα})$收敛速度和空间上的$\mathcal{O}(h^{\min(2,2-2ρ,\frac{H}α)})$,给出了噪声的规律性与收敛速度之间的关系,其中$ρ$是衡量噪声和$α\in(0,1)$规律性的参数.最后,数值实验进行了支持的理论结果。

英文摘要:

Fractional Gaussian noise models the time series with long-range dependence; when the Hurst index $H>1/2$, it has positive correlation reflecting a persistent autocorrelation structure. This paper studies the numerical method for solving stochastic fractional diffusion equation driven by fractional Gaussian noise. Using the operator theoretical approach, we present the regularity estimate of the mild solution and the fully discrete scheme with finite element approximation in space and backward Euler convolution quadrature in time. The $\mathcal{O}(τ^{H-ρα})$ convergence rate in time and $\mathcal{O}(h^{\min(2,2-2ρ,\frac{H}α)})$ in space are obtained, showing the relationship between the regularity of noise and convergence rates, where $ρ$ is a parameter to measure the regularity of noise and $α\in(0,1)$. Finally, numerical experiments are performed to support the theoretical results.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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