A STOCHASTIC STEFAN-TYPE PROBLEM UNDER FIRST-ORDER BOUNDARY CONDITIONS

• 成果类型: Article
• 署名作者: Mueller, Marvin S.
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1359
• 发表日期: 2018
• 页码: 2335-2369
• 关键词: order book; MODEL

摘要

Moving boundary problems allow to model systems with phase transition at an inner boundary. Motivated by problems in economics and finance, we set up a price-time continuous model for the limit order book and consider a stochastic and nonlinear extension of the classical Stefan-problem in one space dimension. Here, the paths of the moving interface might have unbounded variation, which introduces additional challenges in the analysis. Working on the distribution space, the Ito-Wentzell formula for SPDEs allows to transform these moving boundary problems into partial differential equations on fixed domains. Rewriting the equations into the framework of stochastic evolution equations and stochastic maximal L-P-regularity, we get existence, uniqueness and regularity of local solutions. Moreover, we observe that explosion might take place due to the boundary interaction even when the coefficients of the original problem have linear growths.