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Finite element approximations for second order stochastic differential equation driven by fractional Brownian motion (1507.02399v5)
Published 9 Jul 2015 in math.NA
Abstract: We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index $H\le 1/2$. We make use of a sequence of approximate solutions with the fractional noise replaced by its piecewise con- stant approximations to construct the finite element approximations for the equation. The error estimate of the approximations is derived through rigorous convergence analysis.
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