The supercooled Stefan problem with transport noise: weak solutions and blow-up

Abstract: We derive two weak formulations for the supercooled Stefan problem with transport noise on a half-line: one captures a continuously evolving system, while the other resolves blow-ups by allowing for jump discontinuities in the evolution of the temperature profile and the freezing front. For the first formulation, we establish a probabilistic representation in terms of a conditional McKean--Vlasov problem, and we then show that there is finite time blow-up with positive probability when part of the initial temperature profile exceeds a critical value. On the other hand, the system is shown to evolve continuously when the initial profile is everywhere below this value. In the presence of blow-ups, we show that the conditional McKean--Vlasov problem provides global solutions of the second weak formulation. Finally, we identify a solution of minimal temperature increase over time and we show that its discontinuities are characterized by a natural resolution of emerging instabilities with respect to an infinitesimal external heat transfer.