Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients

Sean Ledger

We prove that the weak version of the SPDE problem \begin{align*} dV_{t}(x) & = [-μV_{t}'(x) + \frac{1}{2} (σ_{M}^{2} + σ_{I}^{2})V_{t}"(x)]dt - σ_{M} V_{t}'(x)dW^{M}_{t}, \quad x…