On stochastic differential equations and a generalised Burgers equation Dedicated to Professor Jia-an Yan on the Occasion of his 70th Birthday

نویسندگان

  • Jiang-Lun Wu
  • Wei Yang
  • Feng-Yu Wang
چکیده

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.

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تاریخ انتشار 2011