Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients

DOI10.1007/S40072-013-0023-1MaRDI QIDQ744172zbMATH OpenOpenAlexFDO

Authors Sean Ledger

Publication date 6 October 2014

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.6894

zbMATH Keywords

regularitystochastic partial differential equationabsorbing boundary

Mathematics Subject Classification ID

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

Abstract: We prove that the weak version of the SPDE problem �egin{align*} dV_{t}(x) & = [-mu V_{t}'(x) + frac{1}{2} (sigma_{M}^{2} + sigma_{I}^{2})V_{t}"(x)]dt - sigma_{M} V_{t}'(x)dW^{M}_{t}, quad x > 0, \ V_{t}(0) &= 0 end{align*} with a specified bounded initial density, $V_0$, and $W$ a standard Brownian motion, has a unique solution in the class of finite-measure valued processes. The solution has a smooth density process which has a probabilistic representation and shows degeneracy near the absorbing boundary. In the language of weighted Sobolev spaces, we describe the precise order of integrability of the density and its derivatives near the origin, and we relate this behaviour to a two-dimensional Brownian motion in a wedge whose angle is a function of the ratio $sigm{a}_M/sigm{a}_I$. Our results are sharp: we demonstrate that better regularity is unattainable.

Recommendations

• A Sobolev Space Theory of SPDE with Constant Coefficients on a Half Line
• A Sobolev Space Theory of SPDEs with Constant Coefficients in a Half Space
• Absolute continuity of the law for solutions of stochastic differential equations with boundary noise
• scientific article; zbMATH DE number 1304736
• Stochastic partial differential equations in bounded domains with Dirichlet boundary conditions

Cites work

• A Sobolev Space Theory of SPDE with Constant Coefficients on a Half Line
• A \(W_ 2^ n\)-theory of the Dirichlet problem for SPDEs in general smooth domains
• Brownian Trajectory Is a Regular Lateral Boundary for the Heat Equation
• Fundamentals of stochastic filtering
• Hitting Lines with Two-Dimensional Brownian Motion
• On SPDEs with variable coefficients in one space dimension
• On The Stochastic Fubini Theorem
• On the first passage problem for correlated Brownian motion
• Particle representations for a class of nonlinear SPDEs
• Stochastic evolution equations in portfolio credit modelling

Cited in

(7)

• An SPDE model for systemic risk with endogenous contagion
• Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
• Stochastic evolution equations for large portfolios of stochastic volatility models
• Stochastic PDEs for large portfolios with general mean-reverting volatility processes
• Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models
• A stochastic partial differential equation model for the pricing of mortgage-backed securities
• An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line

This page was built for publication: Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744172)