BPE and a noncausal Girsanov's theorem

DOI10.1007/S13171-016-0087-XzbMATH Open1356.60105OpenAlexW2507347359MaRDI QIDQ505489FDOQ505489

Authors: Shigeyoshi Ogawa 

Publication date: 25 January 2017

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-016-0087-x

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zbMATH Keywords

stochastic partial differential equationsGirsanov's theoremBrownian particle equationnoncausal stochastic integral

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Equation de Schrödinger et équation de particule brownienne
• Title not available (Why is that?)
• Title not available (Why is that?)
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• On a Riemann definition of the stochastic integral, I
• A partial differential equation with the white noise as a coefficient
• Quelques propriétés de l’intégrale stochastique du type noncausal
• Une remarque sur l'approximation de l'integrale stochastique du type noncausal par une suite des integrales de Stieltjes

Cited In (3)

• A BPE model for the Burgers equation
• On a class of SPDEs called Brownian particle equation model for nonlinear diffusions
• The Girsanov theorem without (so much) stochastic analysis

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