Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise

DOI10.1214/16-AAP1186zbMath1358.60075arXiv1510.00611OpenAlexW2963434784MaRDI QIDQ511482

Tu-Sheng Zhang

Publication date: 21 February 2017

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

Full work available at URL: https://arxiv.org/abs/1510.00611

zbMATH Keywords

discretizationreflectionstochastic partial differential equationsapproximation schemedeterministic parabolic obstacle problemsSkorokhod-type problemstime-dependent domains

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Stochastic heat equation with Burgers term driven by fractional noises with two reflecting walls ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion ⋮ Existence of weak solutions to stochastic heat equations driven by truncated \(\alpha\)-stable white noises with non-Lipschitz coefficients ⋮ Large deviation principle for stochastic Burgers type equation with reflection

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