A Stefan-type stochastic moving boundary problem
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Publication:682466
DOI10.1007/s40072-016-0076-zzbMath1388.60112arXiv1507.03276OpenAlexW3098411084MaRDI QIDQ682466
Martin Keller-Ressel, Marvin S. Müller
Publication date: 2 February 2018
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.03276
Stochastic models in economics (91B70) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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A stochastic Stefan-type problem under first-order boundary conditions ⋮ Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier ⋮ Forward invariance and Wong-Zakai approximation for stochastic moving boundary problems ⋮ Doubly nonlinear stochastic evolution equations. II. ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ Doubly nonlinear stochastic evolution equations ⋮ A diffusion approximation for limit order book models ⋮ Second order approximations for limit order books ⋮ Stefan problems for reflected SPDEs driven by space-time white noise ⋮ A reflected moving boundary problem driven by space-time white noise ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ Numerical difference solution of moving boundary random Stefan problems
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