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math.PR2018
Existence of Invariant Measures for Reflected SPDEs
Jasdeep Kalsi
In this article, we close a gap in the literature by proving existence of invariant measures for reflected SPDEs with only one reflecting barrier. This is done by arguing that the…
math.PR2018
Stefan Problems for Reflected SPDEs Driven by Space-Time White Noise
Ben Hambly, Jasdeep Kalsi
We prove the existence and uniqueness of solutions to a one-dimensional Stefan Problem for reflected SPDEs which are driven by space-time white noise. The solutions are shown to ex…
math.PR2018
A Reflected Moving Boundary Problem Driven by Space-Time White Noise
Ben Hambly, Jasdeep Kalsi
We study a system of two reflected SPDEs which share a moving boundary. The equations describe competition at an interface and are motivated by the modelling of the limit order boo…