A link of stochastic differential equations to nonlinear parabolic equations

DOI10.1007/s11425-012-4463-2zbMath1260.60113OpenAlexW2064348204MaRDI QIDQ1933996

Aubrey Truman, Fengyu Wang, Wei Yang, Jiang-Lun Wu

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-012-4463-2

zbMATH Keywords

stochastic differential equationsdiffusion processesnonlinear partial differential equationGirsanov transformation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Brownian motion with respect to a metric depending on time; definition, existence and applications to Ricci flow
• Stochastic calculus of variations in mathematical finance.
• Multidimensional diffusion processes.
• On a Formula Concerning Stochastic Differentials
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