A full discretization of the rough fractional linear heat equation
نویسندگان
چکیده
We study a full discretization scheme for the stochastic linear heat equationwhen B˙ is very rough space-time fractional noise. The procedure divised into three steps: (i) regularization of noise through mollifying-type approach; (ii) (smoothened) as finite sum Gaussian variables over rectangles in [0,1]×R; (iii) operator on (non-compact) domain [0,1]×R, along principles Galerkin elements method. establish convergence resulting approximation to , which, such specific framework, can only hold space distributions. also provide some partial simulations algorithm.
منابع مشابه
Non-linear Rough Heat Equation
This article is devoted to define and solve an evolution equation of the form dyt = ∆yt dt + dXt(yt), where ∆ stands for the Laplace operator on a space of the form L(R), and X is a finite dimensional noisy nonlinearity whose typical form is given by Xt(φ) = ∑N i=1 x i tfi(φ), where each x = (x , . . . , x) is a γ-Hölder function generating a rough path and each fi is a smooth enough function d...
متن کاملNon-linear rough heat equations
This article is devoted to define and solve an evolution equation of the form dyt = yt dt + d Xt (yt ), where stands for the Laplace operator on a space of the form L p(Rn), and X is a finite dimensional noisy nonlinearity whose typical form is given by Xt (φ) = ∑N i=1 xi t fi (φ), where each x = (x (1), . . . , x (N ) is a γ -Hölder function generating a rough path and each fi is a smooth enou...
متن کاملWeak order for the discretization of the stochastic heat equation
In this paper we study the approximation of the distribution of Xt Hilbert–valued stochastic process solution of a linear parabolic stochastic partial differential equation written in an abstract form as dXt +AXt dt = Q dWt, X0 = x ∈ H, t ∈ [0, T ], driven by a Gaussian space time noise whose covariance operatorQ is given. We assume that A is a finite trace operator for some α > 0 and that Q is...
متن کاملDiscretization of Space-time White Noise in the Heat Equation
We consider discretizations of a periodic, one-dimensional spatial white noise. We then propose a particular spectral discretization of space-time white noise and use it to force the heat equation with periodic boundary conditions. We are able to solve explicitly the discretized equations, and then find explicitly the probability distribution of the stationary solution of the heat equation forc...
متن کاملExact solutions of a linear fractional partial differential equation via characteristics method
In recent years, many methods have been studied for solving differential equations of fractional order, such as Lie group method, invariant subspace method and numerical methods, cite{6,5,7,8}. Among this, the method of characteristics is an efficient and practical method for solving linear fractional differential equations (FDEs) of multi-order. In this paper we apply this method f...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2022
ISSN: ['1083-6489']
DOI: https://doi.org/10.1214/22-ejp839