کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155650 | 958754 | 2013 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper studies forward and backward versions of the random Burgers equation (RBE) with stochastic coefficients. First, the celebrated Cole-Hopf transformation reduces the forward RBE to a forward random heat equation (RHE) that can be treated pathwise. Next we provide a connection between the backward Burgers equation and a system of FBSDEs. Exploiting this connection, we derive a generalization of the Cole-Hopf transformation which links the backward RBE with the backward RHE and investigate the range of its applicability. Stochastic Feynman-Kac representations for the solutions are provided. Explicit solutions are constructed and applications in stochastic control and mathematical finance are discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 8, August 2013, Pages 3239-3272
Journal: Stochastic Processes and their Applications - Volume 123, Issue 8, August 2013, Pages 3239-3272
نویسندگان
Nikolaos Englezos, Nikolaos E. Frangos, Xanthi-Isidora Kartala, Athanasios N. Yannacopoulos,