White noise driven SPDEs with reflection: Existence, uniqueness and large deviation principles
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.
Year of publication: |
2009
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Authors: | Xu, Tiange ; Zhang, Tusheng |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 10, p. 3453-3470
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Publisher: |
Elsevier |
Keywords: | Parabolic obstacle problems Stochastic partial differential equations with reflection Skeleton equations Weak convergence Large deviation principles |
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