On stochastic differential equations and a generalised Burgers equation Dedicated to Professor Jia-an Yan on the Occasion of his 70th Birthday
نویسندگان
چکیده
In this paper, we discuss a link of Itô’s stochastic differential equations to nonlinear partial differential equations of Burgers type. Under certain conditions, we derive a generalised Burgers equation from a stochastic differential equation. We also give some economic interpretation of our result as well as the relevant conditions. Mathematics Subject Classification (2000): 60H10, 35K58, 91G99.
منابع مشابه
LESSER KNOWN MIRACLES OF BURGERS EQUATION∗ Dedicated to Professor Constantine M. Dafermos on the occasion of his 70th birthday
This article is a short introduction to the surprising appearance of Burgers equation in some basic probabilistic models.
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