Stefan problems for reflected SPDEs driven by space-time white noise

DOI10.1016/j.spa.2019.04.003zbMath1471.60099arXiv1806.04739OpenAlexW2963551915WikidataQ128060751 ScholiaQ128060751MaRDI QIDQ2289817

Jasdeep Kalsi, Benjamin M. Hambly

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.04739

zbMATH Keywords

Stefan problemwhite noise

Mathematics Subject Classification ID

Stefan problems, phase changes, etc. (80A22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Second-order parabolic systems (35K40)

Cites Work

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• A Stefan-type stochastic moving boundary problem
• White noise driven SPDEs with reflection: existence, uniqueness and large deviation principles
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• A stochastic Stefan-type problem under first-order boundary conditions
• A stochastic Stefan problem
• A reflected moving boundary problem driven by space-time white noise
• On the size of the non-coincidence set of parabolic obstacle problems with applications to American option pricing

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