Infoscience

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

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.

    Reference

    • EPFL-REPORT-186673

    Record created on 2013-05-22, modified on 2016-08-09

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