Exponential Functionals of Brownian Motion and Explosion Times of a System of Semilinear SPDEs

DOI10.1080/07362994.2013.817232zbMath1282.35423OpenAlexW2084447092MaRDI QIDQ5746989

Jose Alfredo Lopez Mimbela, Ekaterina Todorova Kolkovska, Marco E. Dozzi

Publication date: 11 February 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.817232

zbMATH Keywords

systems of stochastic partial differential equationsweak and mild solutionsblowup of systems of semi-linear equations

Mathematics Subject Classification ID

Singularities, blow-up, stress concentrations for dynamical problems in solid mechanics (74H35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

Estimates of blow‐up times of a system of semilinear SPDEs ⋮ A Criterion for Blow Up in Finite Time of a System of 1-Dimensional Reaction-Diffusion Equations ⋮ Global variational solutions to a class of fractional SPDE’s on unbounded domains ⋮ Pointwise eigenfunction estimates and mean \(L^p\)-norm blowup of a system of semilinear SPDEs with symmetric Lévy generators

Cites Work

• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Finite-time blowup and existence of global positive solutions of a semi-linear SPDE
• Properties of perpetual integral functionals of Brownian motion with drift
• A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• On some exponential functionals of Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Exponential functionals of Brownian motion and related processes

This page was built for publication: Exponential Functionals of Brownian Motion and Explosion Times of a System of Semilinear SPDEs