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.
|Title of host publication||Stochastic Analysis and Its Applications|
|Subtitle of host publication||Essays in Honuor of Professor Jia-An Yan|
|Editors||Tusheng Zhang, Xunyu Zhou|
|Place of Publication||Singapore|
|Number of pages||11|
|Publication status||Published - 2012|
|Name||Interdisciplinary Mathematical Sciences|
- Stochastic differential equations
- generalised Burgers equation
- porous media equation
- Girsanov theorem
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)..