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math.PR2017★ 11 cited
Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations
Philipp Harms, Marvin S. Müller
We establish weak convergence rates for noise discretizations of a wide class of stochastic evolution equations with non-regularizing semigroups and additive or multiplicative nois…
math.PR2016★ 13 cited
A stochastic Stefan-type problem under first-order boundary conditions
Marvin S. Mueller
Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books…
math.PR2015★ 9 cited
A Stefan-type stochastic moving boundary problem
Martin Keller-Ressel, Marvin S. Mueller
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type…