Exponential Functionals of Brownian Motion and Explosion Times of a System of Semilinear SPDEs
DOI10.1080/07362994.2013.817232zbMath1282.35423OpenAlexW2084447092MaRDI QIDQ5746989
Jose Alfredo Lopez Mimbela, Ekaterina Todorova Kolkovska, Marco E. Dozzi
Publication date: 11 February 2014
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2013.817232
systems of stochastic partial differential equationsweak and mild solutionsblowup of systems of semi-linear equations
Singularities, blow-up, stress concentrations for dynamical problems in solid mechanics (74H35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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Cites Work
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Finite-time blowup and existence of global positive solutions of a semi-linear SPDE
- Properties of perpetual integral functionals of Brownian motion with drift
- A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- On some exponential functionals of Brownian motion
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