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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
ISSN/eISSN1674-7283
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
DOI10.1007/s11425-012-4463-2
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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
被引频次:13[WOS]   [WOS记录]     [WOS相关记录]
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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