Super-convergence analysis on exponential integrator for stochastic heat equation driven by additive fractional Brownian motion

Abstract

In this paper, we consider the strong convergence order of the exponential integrator for the stochastic heat equation driven by an additive fractional Brownian motion with Hurst parameter $H\in (\frac{1}{2},1)$. By showing the strong order one of accuracy of the exponential integrator under appropriote assumptions, we present the first super-convergence result in temporal direction on full discretizations for stochastic partial differential equations driven by infinite dimensional fractional Brownian motions with Hurst parameter $H\in (\frac{1}{2},1)$. The proof is a combination of Malliavin calculus, the $L^p(\Omega )$-estimate of the Skorohod integral and the smoothing effect of the Laplacian operator.