A stochastic Stefan-type problem under first-order boundary conditions

DOI10.1214/17-AAP1359zbMath1402.60078arXiv1601.03968MaRDI QIDQ1617128

Marvin S. Müller

Publication date: 7 November 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03968

zbMATH Keywords

stochastic partial differential equationsmoving boundary problemStefan problemlimit order book

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Free boundary problems for PDEs (35R35)

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