| Popis: |
In this paper, we are concerned with existence, uniqueness and numerical approximation of the solution process to an initial value problem for stochastic fractional differential equation of Riemann-Liouville type. We propose and analyze a Petrov-Galerkin finite element method based on fractional (non-polynomial) Jacobi polyfractonomials as basis and test functions. Error estimates in L 2 norm are derived and numerical experiments are provided to validate the theoretical results. As an illustrative application, we generate sample paths of the Riemann-Liouville fractional Brownian motion which is of importance in many applications ranging from geophysics to traffic flow in telecommunication networks. |
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