Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156105 | Stochastic Processes and their Applications | 2009 | 18 Pages |
Abstract
In the first part of this paper, we prove the uniqueness of the solutions of SPDEs with reflection, which was left open in the paper [C. Donati-Martin, E. Pardoux, White noise driven SPDEs with reflection, Probab. Theory Related Fields 95 (1993) 1–24]. We also obtain the existence of the solution for more general coefficients depending on the past with a much shorter proof. In the second part of the paper, we establish a large deviation principle for SPDEs with reflection. The weak convergence approach is proven to be very efficient on this occasion.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Tiange Xu, Tusheng Zhang,