A link of stochastic differential equations to nonlinear parabolic equations

作     者：TRUMAN Aubrey WANG FengYu WU JiangLun YANG Wei 

作者机构：School of Mathematical Sciences Beijing Normal University Beijing 100875 China Department of Mathematics Swansea University Singleton Park Swansea SA28PP UK Department of Statistics University of Warwick Coventry CV47AL UK 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2012年第55卷第10期

页      面：1971-1976页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by Laboratory of Mathematics and Complex Systems,National Natural Science Foundation of China(Grant No.11131003) Specialized Research Fund for the Doctoral Program of Higher Education the Fundamental Research Funds for the Central Universities 

主　　题：非线性抛物型方程 随机微分方程 方程组解 KPZ方程 独立路径 SDES 微分流形 

摘      要：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 BurgersKPZ equation characterizes the path-independence property of the density process of Girsanov transformation for the stochastic differential *** assertion also holds for SDEs on a connected differential manifold.