A nonlinear stochastic differential equation involving the Hilbert transform

DOI10.1006/JFAN.1999.3420zbMATH Open0935.60095OpenAlexW2039790825WikidataQ57964812 ScholiaQ57964812MaRDI QIDQ1296776FDOQ1296776

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

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zbMATH Keywords

Burgers equationintegro-partial differential equationHilbert transformMcKean-Vlasov equationinteracting Brownian particles

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (11)

• Ornstein–Uhlenbeck diffusion of hermitian and non-hermitian matrices—unexpected links
• Dynamics of a planar Coulomb gas
• Tightness results for infinite-slit limits of the chordal Loewner equation
• Approximating and Simulating Multivalued Stochastic Differential Equations
• Nonlinear martingale problems involving singular integrals
• Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases
• Multiple SLE and the complex Burgers equation
• Title not available (Why is that?)
• Abelian Chern-Simons vortices and holomorphic Burgers hierarchy
• Large deviations upper bounds for the laws of matrix-valued processes and non-commutative entropies
• Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited

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