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

2015/10/02 by Tusheng Zhang, Zhang, Tusheng
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1510.00611

arxiv created 2015/10/02 · arxiv updated 2015/10/05

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.

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