Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866913345127317504 |
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| author | Kamrani, Minoo Debrabant, Kristian Jamshidi, Nahid |
| author_facet | Kamrani, Minoo Debrabant, Kristian Jamshidi, Nahid |
| contents | We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which arise e. g., from spatial approximations of stochastic partial differential equations. For their numerical approximation, we present an exponential Euler scheme and show that it converges in the strong sense with an exact rate close to the Hurst parameter H. Further, based on (E. Buckwar, M.G. Riedler, and P.E. Kloeden 2011), we conclude the existence of a unique stationary solution of the exponential Euler scheme that is pathwise asymptotically stable. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_13224 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise Kamrani, Minoo Debrabant, Kristian Jamshidi, Nahid Probability Numerical Analysis We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which arise e. g., from spatial approximations of stochastic partial differential equations. For their numerical approximation, we present an exponential Euler scheme and show that it converges in the strong sense with an exact rate close to the Hurst parameter H. Further, based on (E. Buckwar, M.G. Riedler, and P.E. Kloeden 2011), we conclude the existence of a unique stationary solution of the exponential Euler scheme that is pathwise asymptotically stable. |
| title | Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2308.13224 |