On stochastic differential equations and a generalised Burgers equation

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.

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• Item metadata

  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:	08 Apr 2024 13:02
  URI:	https://strathprints.strath.ac.uk/id/eprint/43232