Hitting properties of parabolic SPDE's with reflection

被引:49
作者
Dalang, Robert C. [1 ]
Mueller, C.
Zambotti, L.
机构
[1] Ecole Polytech Fed Lausanne, Inst Math, Stn 8, CH-1015 Lausanne, Switzerland
[2] Univ Rochester, Dept Math, Rochester, NY 14627 USA
[3] Politecn Milan, Dipartimento Matemat, I-20133 Milan, Italy
关键词
stochastic partial differential equations; singular coefficients; reflecting nonlinearity; stochastic obstacle problem;
D O I
10.1214/009117905000000792
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the hitting properties of the solutions u of a class of parabolic stochastic partial differential equations with singular drifts that prevent u from becoming negative. The drifts can be a reflecting term or a nonlinearity cu(-3), with c > 0. We prove that almost surely, for all time t > 0, the solution ut hits the level 0 only at a finite number of space points, which depends explicitly on c. In particular, this number of hits never exceeds 4 and if c > 15/8, then level 0 is not hit.
引用
收藏
页码:1423 / 1450
页数:28
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