English

SPDEs with two reflecting walls and two singular drifts

Probability 2015-05-18 v1

Abstract

We study SPDEs with two reflecting walls Λ1\Lambda^1, Λ2\Lambda^2 and two singular drifts c1(XΛ1)ϑ\frac{c_1}{(X-\Lambda^1)^{\vartheta}}, c2(Λ2X)ϑ\frac{c_2}{(\Lambda^2-X)^{\vartheta}}, driven by space-time white noise. First, we establish the existence and uniqueness of the solutions XX for ϑ0\vartheta\geq 0. Second, we obtain the following pathwise properties of the solutions XX. If ϑ>3\vartheta>3, then a.s. Λ1<X<Λ2\Lambda^1<X<\Lambda^2 for all t0t\geq0; If 0<ϑ<30<\vartheta<3, then XX hits Λ1\Lambda^1 or Λ2\Lambda^2 with positive probability in finite time. Thus ϑ=3\vartheta=3 is the critical parameter for XX to hit reflecting walls.

Cite

@article{arxiv.1505.03938,
  title  = {SPDEs with two reflecting walls and two singular drifts},
  author = {Juan Yang and Jianliang Zhai},
  journal= {arXiv preprint arXiv:1505.03938},
  year   = {2015}
}
R2 v1 2026-06-22T09:34:41.716Z