Branching random motions, nonlinear hyperbolic systems and traveling waves
Data(s) |
07/07/2004
|
---|---|
Resumo |
A branching random motion on a line, with abrupt changes of direction, is studied. The branching mechanism, being independient of random motion, and intensities of reverses are defined by a particle's current direction. A soluton of a certain hyperbolic system of coupled non-linear equations (Kolmogorov type backward equation) have a so-called McKean representation via such processes. Commonly this system possesses traveling-wave solutions. The convergence of solutions with Heaviside terminal data to the travelling waves is discussed.This Paper realizes the McKean programme for the Kolmogorov-Petrovskii-Piskunov equation in this case. The Feynman-Kac formula plays a key role. |
Formato |
application/pdf |
Identificador | |
Idioma(s) |
eng |
Publicador |
Facultad de Economía |
Relação |
Economía. Serie documentos. Borradores de investigación, No. 45 1 https://ideas.repec.org/p/col/000091/004331.html |
Direitos |
info:eu-repo/semantics/openAccess |
Fonte |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario |
Palavras-Chave | #Ecuaciones diferenciales #Ecuaciones diferenciales hiperbólicas #Procesos de bifurcación #Tubos de ondas progresivas #Matemáticas financieras #515.353 #Non-linear hyperbolic system #Branching random motion #Feynman-Kac connection #McKean solution #Traveling wave |
Tipo |
info:eu-repo/semantics/book info:eu-repo/semantics/acceptedVersion |