BPE and a noncausal Girsanov's theorem

DOI10.1007/S13171-016-0087-XMaRDI QIDQ505489zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3617292 (Why is no real title available?)
• scientific article; zbMATH DE number 1789171 (Why is no real title available?)
• A partial differential equation with the white noise as a coefficient
• Equation de Schrödinger et équation de particule brownienne
• On a Riemann definition of the stochastic integral, I
• Quelques propriétés de l’intégrale stochastique du type noncausal
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• 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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