Hitting properties of parabolic s.p.d.e.'s with reflection
Probability
2007-05-23 v3 Analysis of PDEs
Abstract
We study the hitting properties of the solutions of a class of parabolic stochastic partial differential equations with singular drifts that prevent from becoming negative. The drifts can be a reflecting term or a nonlinearity , with . We prove that almost surely, for all time , the solution hits the level 0 only at a finite number of space points, which depends explicitly on . In particular, this number of hits never exceeds 4 and if , then level 0 is not hit.
Keywords
Cite
@article{arxiv.math/0410414,
title = {Hitting properties of parabolic s.p.d.e.'s with reflection},
author = {Robert C. Dalang and C. Mueller and L. Zambotti},
journal= {arXiv preprint arXiv:math/0410414},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009117905000000792 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)