An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
نویسندگان
چکیده
منابع مشابه
An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Motivated by the work of Musiela and Zariphopoulou [24], we study the Itô random fields which are utility functions U(t, x) for any (ω, t). The main tool is the marginal utility Ux(t, x) and its inverse expressed as the opposite of the derivative of the Fenchel conjuguate Ũ(t, y). Under regularity assumptions, we associate a SDE(μ, σ) and its adjoint SPDE(μ, σ) in divergence form whose Ux(t, x)...
متن کاملAn Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Motivated by the work of Musiela and Zariphopoulou [24], we study the Itô random fields which are utility functions U(t, x) for any (ω, t). The main tool is the marginal utility Ux(t, x) and its inverse expressed as the opposite of the derivative of the Fenchel conjuguate Ũ(t, y). Under regularity assumptions, we associate a SDE(μ, σ) and its adjoint SPDE(μ, σ) in divergence form whose Ux(t, x)...
متن کاملConnection between deterministic and stochastic descriptions of nonlinear systems
Using the recent statistical mechanical theory for nonlinear irreversible processes of Grabert, Graham and Green, we re-examine the fluctuations in an electric circuit containing a nonlinear dissipative resistance. We explicitly establish the relationship between the nonlinear thermal fluctuations and the deterministic irreversible transport law. In particular, we verify their choice of the met...
متن کاملRelationship between Stochastic Flows and Connection Forms
The idea of reconstructing of geometry of riemannian manifold M from the Brownian motion on M has been productively explored for a long time (see, for instance, expository article of Pinsky [7] and references therein). In [7] different asymptotics of Brownian motion (mean exit time, distribution of exit time from small ball,...) has been produced and it was shown that it is possible to retrieve...
متن کاملA Nonlinear Elliptic PDE with Two Sobolev-Hardy Critical Exponents
In this paper, we consider the following PDE involving two Sobolev-Hardy critical exponents,
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2013
ISSN: 1945-497X
DOI: 10.1137/10081143x