连普诺夫方程的有限元素近似与抛物线随机 PDEs 相关
Adam Andersson1,2, Annika Lang1, Andreas Petersson1,3,4
1Department of Mathematical Sciences, Chalmers University of Technology & University of Gothenburg, Gothenburg, Sweden.
本研究开发了使用运算符Lyapunov方程的随机局部微分方程 (SPDEs) 的确定性数值方法. 该方法在计算路径依赖函数时,与蒙特卡洛采样相比具有优势.
科学领域:
- 数字分析 数字分析
- 随机局部微分方程 随机局部微分方程
- 运算子理论 运算子理论
背景情况:
- 运算符Lyapunov方程对于分析带有乘数噪声的线性随机局部微分方程 (SPDEs) 是至关重要的.
- 离散方法对于近似解决这些复杂方程的方法至关重要.
研究的目的:
- 开发和分析与SPDEs相关的运算符Lyapunov方程的完全离散数值方法.
- 为了导出接近莱普诺夫方程解决方案的收率.
- 建立一种确定性方法来计算SPDE解决方案的路径依赖函数.
主要方法:
- 空间离散的有限元方法.
- 半隐含的欧勒方案用于时间离散.
- 运营商规范分析以推导收率.
主要成果:
- 导出了完全离散近似的运营商规范中的收率.
- 证明Lyapunov方程的解代表了SPDE解的二次函数,路径依赖的函数.
- 确定了完全离散的有限元近似的弱误差率,实现了两倍于强的收率.
结论:
- 提出的确定性方法为计算路径依赖函数提供了蒙特卡洛采样的有效替代方案.
- 数值分析在研究具有倍数噪声的SPDEs的完全离散近似方面取得了显著的理论进展.
- 数字实验验证了理论发现,并突出了该方法的稳定性优势.
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