The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat

DOI10.2307/2001779zbMath0754.35193OpenAlexW4237121750MaRDI QIDQ3977227

Terry R. McConnell

Publication date: 25 June 1992

Full work available at URL: https://doi.org/10.2307/2001779

zbMATH Keywords

existenceuniquenessoptimal stopping problems for Brownian motionSkorohod embedding problem for Brownian motion

Mathematics Subject Classification ID

Stefan problems, phase changes, etc. (80A22) Heat equation (35K05) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)

Related Items (15)

Approximate solutions to one-phase Stefan-like problems with space-dependent latent heat ⋮ From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ A counterexample to the Cantelli conjecture through the Skorokhod embedding problem ⋮ Ratios of partition functions for the log-gamma polymer ⋮ Embedding laws in diffusions by functions of time ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Moving boundary problems for the Harry Dym equation and its reciprocal associates ⋮ One-phase Stefan-like problems with latent heat depending on the position and velocity of the free boundary and with Neumann or Robin boundary conditions at the fixed face ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon ⋮ An integral equation for Root's barrier and the generation of Brownian increments

Cites Work

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• The stopping distributions of a Markov process
• The Existence of Certain Stopping Times on Brownian Motion
• On a Theorem of Skorohod
• Stopping times on Brownian motion: Some properties of root's construction

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