Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation

DOI10.1016/J.SPA.2013.03.001MaRDI QIDQ2447712zbMATH OpenOpenAlexFDO

Authors Nikolaos Englezos, Xanthi-Isidora Kartala, Athanasios Yannacopoulos, Nikos E. Frangos

Publication date 28 April 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.1976

zbMATH Keywords

contingent claim pricingcontrollabilitygeneralized Cole-Hopf transformationrandom coefficientsstochastic Burgers equationstochastic Feynman-Kac formulasstochastic heat equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Abstract: This paper studies forward and backward versions of random Burgers equation (RBE) with stochastic coefficients. Firstly, the celebrated Cole-Hopf transformation reduces the forward RBE to a forward random heat equation (RHE) that can be treated pathwise. Next we provide a connection between the backward Burgers equation and a system of FBSDEs. Exploiting this connection, we derive a generalization of the Cole-Hopf transformation which links the backward RBE with the backward RHE and investigate the range of its applicability. Stochastic Feynman-Kac representations for the solutions are provided. Explicit solutions are constructed and applications in stochastic control and mathematical finance are discussed.

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Cited in

(6)

• On the strong unique continuation of electromagnetic Schrödinger equations with random coefficients
• \(L_p\)-regularity theory for semilinear stochastic partial differential equations with multiplicative white noise
• Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations
• Burgers equation in the adhesion model
• Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
• A regularity theory for stochastic generalized Burgers' equation driven by a multiplicative space-time white noise

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