English

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 uu of a class of parabolic stochastic partial differential equations with singular drifts that prevent uu from becoming negative. The drifts can be a reflecting term or a nonlinearity cu3cu^{-3}, with c>0c>0. We prove that almost surely, for all time t>0t>0, the solution utu_t hits the level 0 only at a finite number of space points, which depends explicitly on cc. In particular, this number of hits never exceeds 4 and if c>15/8c>15/8, 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)

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