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A link of stochastic differential equations to nonlinear parabolic equations
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Truman, Aubrey, Wang, FengYu, Wu, JiangLun and Yang, Wei (2012) A link of stochastic differential equations to nonlinear parabolic equations. Science China Mathematics, Vol.55 (No.10). pp. 1971-1976. doi:10.1007/s11425-012-4463-2 ISSN 1674-7283.
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Official URL: http://dx.doi.org/10.1007/s11425-012-4463-2
Abstract
Using Girsanov transformation, we derive a new link from stochastic differential equations of Markovian type to nonlinear parabolic equations of Burgers-KPZ type, in such a manner that the obtained Burgers-KPZ equation characterizes the path-independence property of the density process of Girsanov transformation for the stochastic differential equation. Our assertion also holds for SDEs on a connected differential manifold.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Science China Mathematics | ||||
Publisher: | Zhongguo Kexue Zazhishe | ||||
ISSN: | 1674-7283 | ||||
Official Date: | October 2012 | ||||
Dates: |
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Volume: | Vol.55 | ||||
Number: | No.10 | ||||
Page Range: | pp. 1971-1976 | ||||
DOI: | 10.1007/s11425-012-4463-2 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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