Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise

2017/11/06 by Max Gunzburger, Buyang Li, Gunzburger, Max +3
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Numerical Analysis (math.NA) #Probabilistic and Robust Engineering Design #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1711.01998

openalex publication_date 2017/11/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Numerical approximation of a stochastic partial integro-differential equation driven by a space- time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

Cited by

• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise

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