A nonlinear parabolic equation with noise - A reduction method

Citation
Fe. Benth et Hk. Gjessing, A nonlinear parabolic equation with noise - A reduction method, POTENT ANAL, 12(4), 2000, pp. 385-401
Citations number
19
Categorie Soggetti
Mathematics
Journal title
POTENTIAL ANALYSIS
ISSN journal
09262601 → ACNP
Volume
12
Issue
4
Year of publication
2000
Pages
385 - 401
Database
ISI
SICI code
0926-2601(200006)12:4<385:ANPEWN>2.0.ZU;2-U
Abstract
In this paper we study a class of parabolic equations with a nonlinear grad ient term. The system is disturbed by white noise in time. We show that the unique solution of this problem can be represented as the Wick product bet ween a normalized random variable of exponential form and the solution of a nonlinear parabolic equation. We allow random initial data which might be anticipating. A relation between the Wick product with a normalized exponen tial and translation is proved in order to establish our results.