A nonlinear stochastic differential equation involving the Hilbert transform

DOI10.1006/jfan.1999.3420zbMath0935.60095OpenAlexW2039790825WikidataQ57964812 ScholiaQ57964812MaRDI QIDQ1296776

Dominique Lépingle, François Bouchut, Aline Bonami, Emmanuel Cépa

Publication date: 4 May 2000

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jfan.1999.3420

zbMATH Keywords

Burgers equationHilbert transforminteracting Brownian particlesintegro-partial differential equationMcKean-Vlasov equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Related Items (10)

Large deviations upper bounds for the laws of matrix-valued processes and non-commutative entropies ⋮ Nonlinear martingale problems involving singular integrals ⋮ Dynamics of a planar Coulomb gas ⋮ Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited ⋮ Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases ⋮ Abelian Chern-Simons vortices and holomorphic Burgers hierarchy ⋮ Ornstein–Uhlenbeck diffusion of hermitian and non-hermitian matrices—unexpected links ⋮ Tightness results for infinite-slit limits of the chordal Loewner equation ⋮ Approximating and Simulating Multivalued Stochastic Differential Equations ⋮ Multiple SLE and the complex Burgers equation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
• Interacting Brownian particles and the Wigner law
• Diffusing particles with electrostatic repulsion
• Instability of certain nonlinear stochastic differential equations

This page was built for publication: A nonlinear stochastic differential equation involving the Hilbert transform