SPDEs with two reflecting walls and two singular drifts

2015/05/15 by Juan Yang, Yang, Juan, Jianliang Zhai +1
Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Physics Problems #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1505.03938

openalex publication_date 2015/05/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study SPDEs with two reflecting walls Λ¹, Λ² and two singular drifts \fracc₁(X-Λ¹)^ϑ, \fracc₂(Λ²-X)^ϑ, driven by space-time white noise. First, we establish the existence and uniqueness of the solutions X for ϑ≥ 0. Second, we obtain the following pathwise properties of the solutions X. If ϑ>3, then a.s. Λ¹

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