LIMIT OF SOLUTIONS OF A SPDE DRIVEN BY MARTINGALE MEASURE WITH REFLECTION | Zendy

Nhan-Sook Cho | Zendy; Youngmee Kwon | Zendy

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LIMIT OF SOLUTIONS OF A SPDE DRIVEN BY MARTINGALE MEASURE WITH REFLECTION

Author(s) -

Nhan-Sook Cho,

Youngmee Kwon

Publication year - 2003

Publication title -

communications of the korean mathematical society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.286

H-Index - 15

eISSN - 2234-3024

pISSN - 1225-1763

DOI - 10.4134/ckms.2003.18.4.713

Subject(s) - mathematics , martingale (probability theory) , doob's martingale inequality , martingale difference sequence , local martingale , white noise , mathematical analysis , limit (mathematics) , pure mathematics , statistics

We study a limit problem of reflected solutions of par- abolic stochastic partial dierential equations driven by martingale measures. The existence of solutions is found in an extension of the work with respect to white noise by Donati-Martin and Pardoux (4). We show that if a certain sequence of driving martingale mea- sures converges, the corresponding solutions also converge in the Skorohod topology.

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