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August 2018 A stochastic Stefan-type problem under first-order boundary conditions
Marvin S. Müller
Ann. Appl. Probab. 28(4): 2335-2369 (August 2018). DOI: 10.1214/17-AAP1359

Abstract

Moving boundary problems allow to model systems with phase transition at an inner boundary. Motivated by problems in economics and finance, we set up a price-time continuous model for the limit order book and consider a stochastic and nonlinear extension of the classical Stefan-problem in one space dimension. Here, the paths of the moving interface might have unbounded variation, which introduces additional challenges in the analysis. Working on the distribution space, the Itô–Wentzell formula for SPDEs allows to transform these moving boundary problems into partial differential equations on fixed domains. Rewriting the equations into the framework of stochastic evolution equations and stochastic maximal $L^{p}$-regularity, we get existence, uniqueness and regularity of local solutions. Moreover, we observe that explosion might take place due to the boundary interaction even when the coefficients of the original problem have linear growths.

Citation

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Marvin S. Müller. "A stochastic Stefan-type problem under first-order boundary conditions." Ann. Appl. Probab. 28 (4) 2335 - 2369, August 2018. https://doi.org/10.1214/17-AAP1359

Information

Received: 1 August 2016; Revised: 1 July 2017; Published: August 2018
First available in Project Euclid: 9 August 2018

zbMATH: 06974753
MathSciNet: MR3843831
Digital Object Identifier: 10.1214/17-AAP1359

Subjects:
Primary: 60H15
Secondary: 91B70, 91G80

Rights: Copyright © 2018 Institute of Mathematical Statistics

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Vol.28 • No. 4 • August 2018
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