A Reflected Moving Boundary Problem Driven by Space-Time White Noise

Ben Hambly; Jasdeep Kalsi

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arXiv · 1805.10166

A Reflected Moving Boundary Problem Driven by Space-Time White Noise

Ben Hambly·Jasdeep Kalsi

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Abstract

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 book in financial markets. The derivative of the moving boundary is given by a function of the two SPDEs in their relative frames. We prove existence and uniqueness for the equations until blow-up, and show that the solution is global when the boundary speed is bounded. We also derive the expected Hölder continuity for the process and hence for the derivative of the moving boundary. Both the case when the spatial domains are given by fixed finite distances from the shared boundary, and when the spatial domains are the semi-infinite intervals on either side of the shared boundary are considered. In the second case, our results require us to further develop the known theory for reflected SPDEs on infinite spatial domains by extending the uniqueness theory and establishing the local Hölder continuity of the solutions.

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BibTeX RIS

Ben Hambly, Jasdeep Kalsi. 2019-03-12. A Reflected Moving Boundary Problem Driven by Space-Time White Noise. https://arxiv.org/abs/1805.10166

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