On stochastic differential equations and a generalised Burgers equation

JiangLun Wu, Wei Yang

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

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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.
Original languageEnglish
Title of host publicationStochastic Analysis and Its Applications
Subtitle of host publicationEssays in Honuor of Professor Jia-An Yan
EditorsTusheng Zhang, Xunyu Zhou
Place of PublicationSingapore
Pages425-435
Number of pages11
Volume13
Publication statusPublished - 2012

Publication series

NameInterdisciplinary Mathematical Sciences
Volume13

Keywords

  • Stochastic differential equations
  • generalised Burgers equation
  • porous media equation
  • Girsanov theorem

Cite this

Wu, J., & Yang, W. (2012). On stochastic differential equations and a generalised Burgers equation. In T. Zhang, & X. Zhou (Eds.), Stochastic Analysis and Its Applications: Essays in Honuor of Professor Jia-An Yan (Vol. 13, pp. 425-435). (Interdisciplinary Mathematical Sciences; Vol. 13)..