发表状态 | 已发表Published |
题名 | A link of stochastic differential equations to nonlinear parabolic equations |
作者 | |
发表日期 | 2012 |
发表期刊 | Science China Mathematics
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ISSN/eISSN | 1674-7283 |
卷号 | 55期号:10页码:1971-1976 |
摘要 | Using Girsanov transformation, we derive a new link from stochastic differential equations of Markovian type to nonlinear parabolic equations of Burgers-KPZ type, in such a manner that the obtained Burgers-KPZ equation characterizes the path-independence property of the density process of Girsanov transformation for the stochastic differential equation. Our assertion also holds for SDEs on a connected differential manifold. © 2012 Science China Press and Springer-Verlag Berlin Heidelberg. |
关键词 | diffusion processes nonlinear partial differential equation stochastic differential equations the Girsanov transformation |
DOI | 10.1007/s11425-012-4463-2 |
URL | 查看来源 |
收录类别 | SCIE |
语种 | 英语English |
WOS研究方向 | Mathematics |
WOS类目 | Mathematics, Applied ; Mathematics |
WOS记录号 | WOS:000309233100001 |
Scopus入藏号 | 2-s2.0-84866944918 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/10522 |
专题 | 个人在本单位外知识产出 |
通讯作者 | Wang, Feng Yu |
作者单位 | 1.School of Mathematical Sciences,Beijing Normal University,Beijing 100875,China 2.Department of Mathematics,Swansea University,Singleton Park,Swansea SA28PP,United Kingdom 3.Department of Statistics,University of Warwick,Coventry CV47AL,United Kingdom |
推荐引用方式 GB/T 7714 | Truman, Aubrey,Wang, Feng Yu,Wu, Jianglunet al. A link of stochastic differential equations to nonlinear parabolic equations[J]. Science China Mathematics, 2012, 55(10): 1971-1976. |
APA | Truman, Aubrey, Wang, Feng Yu, Wu, Jianglun, & Yang, Wei. (2012). A link of stochastic differential equations to nonlinear parabolic equations. Science China Mathematics, 55(10), 1971-1976. |
MLA | Truman, Aubrey,et al."A link of stochastic differential equations to nonlinear parabolic equations". Science China Mathematics 55.10(2012): 1971-1976. |
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