SPDEs with two reflecting walls and two singular drifts

preprint2015arXivOpen access

Abstract

We study SPDEs with two reflecting walls Λ1Λ^1, Λ2Λ^2 and two singular drifts c1(X−Λ1)ϑ\frac{c_1}{(X-Λ^1)^{\vartheta}}, c2(Λ2−X)ϑ\frac{c_2}{(Λ^2-X)^{\vartheta}}, driven by space-time white noise. First, we establish the existence and uniqueness of the solutions XX for ϑ≥0\vartheta\geq 0. Second, we obtain the following pathwise properties of the solutions XX. If ϑ>3\vartheta>3, then a.s. Λ1<X<Λ2Λ^1<X<Λ^2 for all t≥0t\geq0; If 0<ϑ<30<\vartheta<3, then XX hits Λ1Λ^1 or Λ2Λ^2 with positive probability in finite time. Thus ϑ=3\vartheta=3 is the critical parameter for XX to hit reflecting walls.

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