Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise

DOI10.1214/16-AAP1186zbMATH Open1358.60075arXiv1510.00611OpenAlexW2963434784MaRDI QIDQ511482FDOQ511482

Tu-Sheng Zhang

Publication date: 21 February 2017

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

Abstract: We introduce a discretization/approximation scheme for reflected stochastic partial differential equations driven by space-time white noise through systems of reflecting stochastic differential equations. To establish the convergence of the scheme, we study the existence and uniqueness of solutions of Skorohod-type deterministic systems on time-dependent domains. We also need to establish the convergence of an approximation scheme for deterministic parabolic obstacle problems. Both are of independent interest on their own.

Full work available at URL: https://arxiv.org/abs/1510.00611

zbMATH Keywords

discretizationstochastic partial differential equationsreflectionapproximation schemedeterministic parabolic obstacle problemsSkorokhod-type problemstime-dependent domains

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (8)

• Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models
• An analysis of the L1 scheme for stochastic subdiffusion problem driven by integrated space-time white noise
• Large deviation principle for stochastic Burgers type equation with reflection
• Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion
• Existence of weak solutions to stochastic heat equations driven by truncated \(\alpha\)-stable white noises with non-Lipschitz coefficients
• Numerical approximation for stochastic nonlinear fractional diffusion equation driven by rough noise
• Stochastic heat equation with Burgers term driven by fractional noises with two reflecting walls
• Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition

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