A link of stochastic differential equations to nonlinear parabolic equations

doi:10.1007/s11425-012-4463-2

Details of Research Outputs

Status	已发表Published
Title	A link of stochastic differential equations to nonlinear parabolic equations
Creator	Truman, Aubrey 1; Wang, Feng Yu 1,2; Wu, Jianglun1 ; Yang, Wei 3
Date Issued	2012
Source Publication	Science China Mathematics
ISSN	1674-7283
Volume	55 Issue:10 Pages:1971-1976
Abstract	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.
Keyword	diffusion processes nonlinear partial differential equation stochastic differential equations the Girsanov transformation
DOI	10.1007/s11425-012-4463-2
URL	View source
Indexed By	SCIE
Language	英语English
WOS Research Area	Mathematics
WOS Subject	Mathematics, Applied ; Mathematics
WOS ID	WOS:000309233100001
Scopus ID	2-s2.0-84866944918
Citation statistics	Cited Times:13[WOS] [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/10522
Collection	Research outside affiliated institution
Corresponding Author	Wang, Feng Yu
Affiliation	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
Recommended Citation 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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