Lattice Approximations of Reflected Stochastic Partial Differential Equations Driven by Space-Time White Noise
Lattice Approximations of Reflected Stochastic Partial Differential Equations Driven by Space-Time White Noise
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DOI：
10.1214/16-aap1186
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发表时间：
2015-10
期刊：
影响因子：
--
通讯作者：
Tusheng Zhang
中科院分区：
文献类型：
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作者：
Tusheng Zhang
我们介绍了一个离散/近似计划的反射随机偏微分方程驱动的时空白色噪声通过系统的反射随机微分方程。为了建立该格式的收敛性，我们研究了时变域上Skorohod型确定性系统解的存在唯一性。我们还需要建立确定性抛物障碍问题的近似方案的收敛性。两者都是各自独立的利益。
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.