Lattice Approximations of Reflected Stochastic Partial Differential Equations Driven by Space-Time White Noise

    Research output: Contribution to journalArticlepeer-review

    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.
    Original languageEnglish
    Pages (from-to)3602-3629
    JournalAnnals of Applied Probability
    Volume6
    Issue number0
    DOIs
    Publication statusPublished - 15 Dec 2016

    Fingerprint

    Dive into the research topics of 'Lattice Approximations of Reflected Stochastic Partial Differential Equations Driven by Space-Time White Noise'. Together they form a unique fingerprint.

    Cite this