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  • Search: subject:"Generalized Cole–Hopf transformation"
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Contingent claim pricing 1 Controllability 1 Generalized Cole–Hopf transformation 1 Random coefficients 1 Stochastic Burgers equation 1 Stochastic Feynman–Kac formulas 1 Stochastic heat equation 1
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Englezos, Nikolaos 1 Frangos, Nikolaos E. 1 Kartala, Xanthi-Isidora 1 Yannacopoulos, Athanasios N. 1
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Stochastic Processes and their Applications 1
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Stochastic Burgers PDEs with random coefficients and a generalization of the Cole–Hopf transformation
Englezos, Nikolaos; Frangos, Nikolaos E.; Kartala, … - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3239-3272
This paper studies forward and backward versions of the random Burgers equation (RBE) with stochastic coefficients. First, the celebrated Cole–Hopf transformation reduces the forward RBE to a forward random heat equation (RHE) that can be treated pathwise. Next we provide a connection between...
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