A link of stochastic differential equations to nonlinear parabolic equations

Truman, Aubrey and Wang, FengYu and Wu, JiangLun and Yang, Wei (2012) A link of stochastic differential equations to nonlinear parabolic equations. Science in China Series A: Mathematics, 55 (10). pp. 1971-1976. ISSN 1006-9283 (https://doi.org/10.1007/s11425-012-4463-2)

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.

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• Item metadata

  Item type:	Article
  ID code:	43223
  Dates:	Date Event 1 October 2012 Published
  Notes:	I have updated this entry
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	15 Mar 2013 13:53
  Last modified:	08 Apr 2024 20:24
  URI:	https://strathprints.strath.ac.uk/id/eprint/43223