Abstract
This course is about some fine properties of stochastic processes with reflection on a boundary. In the first lectures we present some interesting one-dimensional examples, the reflecting Brownian motion and the Bessel processes. However this serves mainly as a warm-up for the next chapters where we study a class of function-valued processes. Indeed, the main focus of the course is on solutions to stochastic partial differential equations with reflection on an obstacle.
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Zambotti, L. (2017). Introduction. In: Random Obstacle Problems. Lecture Notes in Mathematics(), vol 2181. Springer, Cham. https://doi.org/10.1007/978-3-319-52096-4_1
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DOI: https://doi.org/10.1007/978-3-319-52096-4_1
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Online ISBN: 978-3-319-52096-4
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