A nonlinear stochastic differential equation involving the Hilbert transform

DOI10.1006/jfan.1999.3420zbMath0935.60095WikidataQ57964812 ScholiaQ57964812MaRDI QIDQ1296776

François Bouchut, Aline Bonami, Dominique Lépingle, 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 equation; Hilbert transform; interacting Brownian particles; integro-partial differential equation; McKean-Vlasov equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60K35: Interacting random processes; statistical mechanics type models; percolation theory

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Cites Work

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• 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