{"paper":{"title":"A stochastic Stefan-type problem under first-order boundary conditions","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.TR"],"primary_cat":"math.PR","authors_text":"Marvin S. Mueller","submitted_at":"2016-01-15T15:43:20Z","abstract_excerpt":"Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the classical Stefan-problem in one space dimension, where the paths of the moving interface might have unbounded variation. Working on the distribution space, 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 eq"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1601.03968","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}