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Forward-Invariance and Wong-Zakai Approximation for Stochastic Moving Boundary Problems
Müller, Marvin S.
- Working Paper
We discuss a class of stochastic second-order PDEs in one space-dimension with an inner boundary moving according to a possibly non-linear, Stefan-type condition. We show that proper separation of phases is attained, i.e., the solution remains negative on one side and positive on the other side of the moving interface, when started with the appropriate initial conditions. To extend results from deterministic settings to the stochastic case, we establish a Wong-Zakai type approximation. After a coordinate transformation the problems are reformulated and analysed in terms of stochastic evolution equations on domains of fractional powers of linear operators Show more
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Organisational unit09546 - Larsson, Martin / Larsson, Martin
163425 - Tractable Stopping Problems in Finance (SNF)
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