Stochastic representation of tau functions of Korteweg-de Vries equation

arXiv1704.07288MaRDI QIDQ6285889FDOQ6285889

Authors: Michèle Thieullen, Alexis Vigot 

Publication date: 24 April 2017

Abstract: In this paper we express tau functions for the Korteweg de Vries (KdV) equation, as Laplace transforms of iterated Skorohod integrals. Our main tool is the notion of Fredholm determinant of an integral operator. Our result extends the paper of Ikeda and Taniguchi who obtained a stochastic representation of tau functions for the $N$-soliton solutions of KdV as the Laplace transform of a quadratic functional of $N$ independent Ornstein-Uhlenbeck processes. Our general result goes beyond the $N$-soliton case and enables us to consider a non soliton solution of KdV associated to a Gaussian process with Cauchy covariance function.

Mathematics Subject Classification ID

KdV equations (Korteweg-de Vries equations) (35Q53) Completely integrable infinite-dimensional Hamiltonian and Lagrangian systems, integration methods, integrability tests, integrable hierarchies (KdV, KP, Toda, etc.) (37K10) Laplace transform (44A10) Stochastic processes (60Gxx) Partial differential equations (35-XX)

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