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
![عکس صفحه اول مقاله: Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation](/preview/png/1155650.png)
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,