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

DOI10.1214/16-AAP1186zbMath1358.60075arXiv1510.00611MaRDI QIDQ511482

Tu-Sheng Zhang

Publication date: 21 February 2017

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

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

zbMATH Keywords

discretization; reflection; stochastic partial differential equations; approximation scheme; deterministic parabolic obstacle problems; Skorokhod-type problems; time-dependent domains

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60F10: Large deviations

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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