Hitting properties of parabolic s.p.d.e.’s with reflection
نویسندگان
چکیده
منابع مشابه
Singular control of SPDEs and backward SPDEs with reflection
In the first part, we consider general singular control problems for random fields given by a stochastic partial differential equation (SPDE). We show that under some conditions the optimal singular control can be identified with the solution of a coupled system of SPDE and a kind of reflected backward SPDE (RBSPDE).In the second part, existence and uniqueness of solutions of RBSPDEs are establ...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2006
ISSN: 0091-1798
DOI: 10.1214/009117905000000792