A nonlinear stochastic differential equation involving the Hilbert transform

DOI10.1006/JFAN.1999.3420MaRDI QIDQ1296776zbMATH OpenOpenAlexWikidataFDO

Authors Aline Bonami, François Bouchut, Emmanuel Cépa, Dominique Lépingle

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 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)

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Cites work

• scientific article; zbMATH DE number 4211245 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3238722 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• Diffusing particles with electrostatic repulsion
• Instability of certain nonlinear stochastic differential equations
• Interacting Brownian particles and the Wigner law
• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions

Cited in

(11)

• 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
• scientific article; zbMATH DE number 5217705 (Why is no real title available?)
• Ornstein-Uhlenbeck diffusion of Hermitian and non-Hermitian matrices -- unexpected links
• 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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