@inbook{d602832aa4fc4170bd81cc1068b2fbf1,
title = "On stochastic differential equations and a generalised Burgers equation",
abstract = "In this paper, we discuss a link of Itˆo{\textquoteright}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.",
keywords = "Stochastic differential equations, generalised Burgers equation, porous media equation, Girsanov theorem",
author = "JiangLun Wu and Wei Yang",
year = "2012",
language = "English",
volume = "13",
series = "Interdisciplinary Mathematical Sciences",
pages = "425--435",
editor = "Tusheng Zhang and Xunyu Zhou",
booktitle = "Stochastic Analysis and Its Applications",
}