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

Related Items

Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited, Approximating and Simulating Multivalued Stochastic Differential Equations, Large deviations upper bounds for the laws of matrix-valued processes and non-commutative entropies, Nonlinear martingale problems involving singular integrals, Abelian Chern-Simons vortices and holomorphic Burgers hierarchy

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