A stochastic Stefan-type problem under first-order boundary conditions

DOI10.1214/17-AAP1359zbMath1402.60078arXiv1601.03968MaRDI QIDQ1617128

Marvin S. Müller

Publication date: 7 November 2018

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

Full work available at URL: https://arxiv.org/abs/1601.03968

zbMATH Keywords

stochastic partial differential equationsmoving boundary problemStefan problemlimit order book

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Free boundary problems for PDEs (35R35)

Related Items (6)

The multi-dimensional stochastic Stefan financial model for a portfolio of assets ⋮ Closed loop variable gain ILC for a class of nonlinear parabolic distributed parameter systems with moving boundaries ⋮ Forward invariance and Wong-Zakai approximation for stochastic moving boundary problems ⋮ Stefan problems for reflected SPDEs driven by space-time white noise ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics ⋮ A reflected moving boundary problem driven by space-time white noise

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