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

DOI10.1016/j.spa.2013.03.001zbMath1291.60128arXiv1106.1976MaRDI QIDQ2447712

Nikolaos Englezos, Xanthi-Isidora Kartala, Athanasios N. Yannacopoulos, Nikolaos 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

controllability; stochastic heat equation; random coefficients; stochastic Burgers equation; contingent claim pricing; generalized Cole-Hopf transformation; stochastic Feynman-Kac formulas

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

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