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  4. Exponential Functionals of Brownian Motion and Explosion Times of a System of Semilinear SPDEs
 
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Exponential Functionals of Brownian Motion and Explosion Times of a System of Semilinear SPDEs

Dozzi, Marco
•
Kolkovska, Ekaterina T.
•
Mimbela, Lòpez
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2013

We investigate lower and upper bounds for the blowup times of a system of semilinear SPDEs. Under certain conditions on the system parameters, we obtain explicit solutions of a related system of random PDEs, which allows us to use a formula due to Yor to obtain the distribution functions of several explosion times. We also give the Laplace transforms at independent exponential times of related exponential functionals of Brownian motion.

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Dozzi Kolkovska Lopez I.pdf

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Preprint

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http://purl.org/coar/version/c_71e4c1898caa6e32

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openaccess

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186.29 KB

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Adobe PDF

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