This paper aims to analyze the weak approximation error of a fully discrete scheme for a class of semi-linear parabolic stochastic partial differential equations(SPDEs)driven by additive fractional Brownian motions wi...This paper aims to analyze the weak approximation error of a fully discrete scheme for a class of semi-linear parabolic stochastic partial differential equations(SPDEs)driven by additive fractional Brownian motions with the Hurst parameter H∈(1/2,1).The spatial approximation is performed by a spectral Galerkin method and the temporal discretization by an exponential Euler method.As far as we know,the weak error analysis for approximations of fractional noise driven SPDEs is absent in the literature.A key difficulty in the analysis is caused by the lack of the associated Kolmogorov equations.In the present work,a novel and efficient approach is presented to carry out the weak error analysis for the approximations,which does not rely on the associated Kolmogorov equations but relies on the Malliavin calculus.To the best of our knowledge,the rates of weak convergence,shown to be higher than the strong convergence rates,are revealed in the fractional noise driven SPDE setting for the first time.Numerical examples corroborate the claimed weak orders of convergence.展开更多
In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types....In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types. Equations with time-varying coefficients are also derived by considering processes endowed either with drift or with suitable modifications of their structure. Finally the distribution of the maximum of the iterated Brownian motion (along with some other properties) is presented.展开更多
In analogy to the role of Lommel polynomials ?in relation to Bessel functions Jv(z) the theory of Associated Hermite polynomials in the scaled form ?with parmeter v to Parabolic Cylinder functions Dv(z) is developed. ...In analogy to the role of Lommel polynomials ?in relation to Bessel functions Jv(z) the theory of Associated Hermite polynomials in the scaled form ?with parmeter v to Parabolic Cylinder functions Dv(z) is developed. The group-theoretical background with the 3-parameter group of motions M(2) in the plane for Bessel functions and of the Heisenberg-Weyl group W(2) for Parabolic Cylinder functions is discussed and compared with formulae, in particular, for the lowering and raising operators and the eigenvalue equations. Recurrence relations for the Associated Hermite polynomials and for their derivative and the differential equation for them are derived in detail. Explicit expressions for the Associated Hermite polynomials with involved Jacobi polynomials at argument zero are given and by means of them the Parabolic Cylinder functions are represented by two such basic functions.展开更多
基金supported by NSF of China(Grant Nos.11971488,12071488)by NSF of Hunan Province(Grant No.2020JJ2040)by the Fundamental Research Funds for the Central Universities of Central South University(Grant Nos.2017zzts318,2019zzts214).
文摘This paper aims to analyze the weak approximation error of a fully discrete scheme for a class of semi-linear parabolic stochastic partial differential equations(SPDEs)driven by additive fractional Brownian motions with the Hurst parameter H∈(1/2,1).The spatial approximation is performed by a spectral Galerkin method and the temporal discretization by an exponential Euler method.As far as we know,the weak error analysis for approximations of fractional noise driven SPDEs is absent in the literature.A key difficulty in the analysis is caused by the lack of the associated Kolmogorov equations.In the present work,a novel and efficient approach is presented to carry out the weak error analysis for the approximations,which does not rely on the associated Kolmogorov equations but relies on the Malliavin calculus.To the best of our knowledge,the rates of weak convergence,shown to be higher than the strong convergence rates,are revealed in the fractional noise driven SPDE setting for the first time.Numerical examples corroborate the claimed weak orders of convergence.
基金This work is partially supported by the Natural Science Foundation of Guangdong ProvinceNational Natural Science Foundation of China grant No. 19501026the Alexander yon Humbodlt Foundation
文摘In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types. Equations with time-varying coefficients are also derived by considering processes endowed either with drift or with suitable modifications of their structure. Finally the distribution of the maximum of the iterated Brownian motion (along with some other properties) is presented.
文摘In analogy to the role of Lommel polynomials ?in relation to Bessel functions Jv(z) the theory of Associated Hermite polynomials in the scaled form ?with parmeter v to Parabolic Cylinder functions Dv(z) is developed. The group-theoretical background with the 3-parameter group of motions M(2) in the plane for Bessel functions and of the Heisenberg-Weyl group W(2) for Parabolic Cylinder functions is discussed and compared with formulae, in particular, for the lowering and raising operators and the eigenvalue equations. Recurrence relations for the Associated Hermite polynomials and for their derivative and the differential equation for them are derived in detail. Explicit expressions for the Associated Hermite polynomials with involved Jacobi polynomials at argument zero are given and by means of them the Parabolic Cylinder functions are represented by two such basic functions.
