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Register a new userA full discretization of the rough fractional linear heat equation
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Authors
Aurelien Deya
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We study a full discretization scheme for the stochastic linear heat equation begin{equation*}begin{cases}partial_t langlePsirangle = Delta langlePsirangle +dot{B}, , quad tin [0,1], xin mathbb{R}, langlePsirangle_0=0, ,end{cases}end{equation*} when $dot{B}$ is a very emph{rough space-time fractional noise}. The discretization procedure is divised into three steps: $(i)$ regularization of the noise through a mollifying-type approach; $(ii)$ discretization of the (smoothened) noise as a finite sum of Gaussian variables over rectangles in $[0,1]times mathbb{R}$; $(iii)$ discretization of the heat operator on the (non-compact) domain $[0,1]times mathbb{R}$, along the principles of Galerkin finite elements method. We establish the convergence of the resulting approximation to $langlePsirangle$, which, in such a specific rough framework, can only hold in a space of distributions. We also provide some partial simulations of the algorithm.
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