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.

The instanton solution for the forced Burgers equation is found. This solution describes the exponential tail of the probability distribution function of velocity differences in the region where shock waves are absent. The results agree with the one found recently by Polyakov, who used the operator product conjecture. If this conjecture is true, then our WKB asymptotics of the Wyld functional i...

In this paper, a complete analytical resolution of the one dimensional Burgers equation with the elastic forcing term -k2x + f(t), k is an element of R is presented. Two methods existing for the case K=0 are adapted and generalized using variable and functional transformations, valid for all values of space and time. The emergence of a Fokker-Planck equation in the method allows the establishme...

The Burgers’ equation is one of the typical nonlinear evolutionary partial differential equations. In this paper, a mesh-free method is proposed to solve the Burgers’ equation using the finite difference and collocation methods. With the temporal discretization of the equation using C-N scheme, the solution is approximated spatially by Radial Basis Function (RBF). The numerical results of two d...

A Bäcklund transformation(BT) and a recurrence formula are derived by the homogeneous balance(HB) method. A initial problem of Burgers equations is reduced to a initial problem of heat equation by the BT, the initial problem of heat equation is resolved by the Fourier transformation method, substituting various solutions of the initial problem of the heat equation will yield solutions of the in...

We review recent results on how to extend the supersymmetry SUSY formalism in Quantum Mechanics to linear generalizations of the time-dependent Schrödinger equation in (1+1) dimensions. The class of equations we consider contains many known cases, such as the Schrödinger equation for position-dependent mass. By evaluating intertwining relations, we obtain explicit formulas for the interrelation...

We present in this paper several results concerning a simple model of interaction between an inviscid fluid, modeled by the Burgers equation, and a particle, assumed to be point-wise. It is composed by a first-order partial differential equation which involves a singular source term and by an ordinary differential equation. Though this model can be considered simple, its mathematical analysis i...

In this paper we consider numerical approximations of hyperbolic conservation laws in the one-dimensional scalar case, by studying Godunov and van Leer’s methods. Before to present the numerical treatment of hyperbolic conservation laws, a theoretical introduction is given together with the definition of the Riemann problem. Next the numerical schemes are discussed. We also present numerical ex...

We generelize the Polyakov’s approach for Burgers turbulence in higher dimensions. In this respect, we write the operator product expansion and find the exact two–point functions of the Burgers equation in two and three–dimensions. We show that the angular dependence of the correlation functions satisfy the same equation, which is found in the instanton approach. PACS numbers 47.27.AK, 47.27.Jv