On stochastic differential equations and a generalised Burgers equation

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Wu, JiangLun and Yang, Wei; Zhang, Tusheng and Zhou, Xunyu, eds. (2012) On stochastic differential equations and a generalised Burgers equation. In: Stochastic Analysis and Its Applications. Interdisciplinary Mathematical Sciences, 13 . World Scientific, Singapore, pp. 425-435.

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Abstract

In this paper, we discuss a link of Itˆo’s stochastic differential equa- tions to nonlinear partial differential equations of Burgers type. Un- der certain conditions, we derive a generalised Burgers equation from a stochastic differential equation. We also give some economic inter- pretation of our result as well as the relevant conditions.

  • Item type:Book Section
    ID code:43232
    Dates:
    Date
    Event
    2012
    Published
    Subjects:UNSPECIFIED
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:18 Mar 2013 12:20
    Last modified:12 Dec 2024 01:06
    URI:https://strathprints.strath.ac.uk/id/eprint/43232
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