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Partial differential equations (PDEs): Existence and uniqueness, regularity, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDEs, conservation laws, qualitative dynamics.

1 vote

Imaginary exponential functional of Brownian motion

For those interested, we have released today an ArXiv preprint with what we were able to find: http://arxiv.org/abs/1101.1173
Ivan Dornic's user avatar
0 votes

Imaginary exponential functional of Brownian motion

It turns out that the above generating function pde is related to a Lax pair of Painlevé III/Sine-Gordon, at least for the parameter value g=2. As soon as I have written this up, I'll post details
Ivan Dornic's user avatar
4 votes
3 answers
1k views

Imaginary exponential functional of Brownian motion

Thanks to the work by M. Yor and colleagues, much is known about the following exponential of Brownian motion: $X= \int_0^{\infty}{\rm d}t \ e^{-t + g \ B(t)}$ where $g$ is a real scale parameter. …
Ivan Dornic's user avatar
5 votes
2 answers
802 views

Blow-up for the quasilinear heat equation $u_t= u \ u_{x x}$ or the related $w_t= \left(w_x ...

What kind of approaches can be used to study the following quasilinear parabolic pde for a scalar function $u=u(x,t)$ ? $$ u_t= u \ u_{x x} $$ The physical problem where this pde comes from dictates …
Ivan Dornic's user avatar