11 papers
The Burgers' Equation in the Hermite-Sobolev Spaces
Suprio Bhar, Rajeev Bhaskaran, Barun Sarkar
In this paper, we show existence and uniqueness of solutions to the viscous Burgers' equation in , when the initial condition is in Hermite-Sobolev space of ind…
Call Option Price using Pearson Diffusion Processes
Tapan Kar, Suprio Bhar, Barun Sarkar +1
Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated prici…
Self-normalized scaled quadratic variation
Suprio Bhar, Purba Das, Barun Sarkar
The concept of a scaled quadratic variation was originally introduced by E. Gladyshev in 1961 for processes with Gaussian increments. Using certain deterministic scaling, arrived a…
Stochastic PDEs involving a bilaplacian operator
Suprio Bhar, Barun Sarkar
In this article, we study the existence and uniqueness problem for linear Stochastic PDEs involving a bilaplacian operator. Our results on the existence and uniqueness are obtained…
Weak Solutions of SPDEs in the space of Tempered distributions
Suprio Bhar, Barun Sarkar
In this article, we construct weak solutions for a class of Stochastic PDEs in the space of tempered distributions via Girsanov's theorem. It is to be noted that our drift and diff…
Uniqueness and energy balance for isentropic Euler equation with stochastic forcing
Shyam Sundar Ghoshal, Animesh Jana, Barun Sarkar
In this article, we prove uniqueness and energy balance for isentropic Euler system driven by a cylindrical Wiener process. Pathwise uniqueness result is obtained for weak solution…
Energy-balance for the incompressible Euler equations with stochastic forcing
Shyam Sundar Ghoshal, Animesh Jana, Barun Sarkar
We establish energy-balance for weak solutions of the stochastically forced incompressible Euler equations, enjoying Hölder regularity , . It is well known as the Onsag…
Stochastic PDEs in for SDEs driven by Lévy noise
Suprio Bhar, Rajeev Bhaskaran, Barun Sarkar
In this article we show that a finite dimensional stochastic differential equation driven by a Lévy process can be formulated as a stochastic partial differential equation. We prov…
Parametric family of SDEs driven by Lévy noise
Suprio Bhar, Barun Sarkar
In this article we study the existence and uniqueness of strong solutions of a class of parameterized family of SDEs driven by Lévy noise. These SDEs occurs in connection with a cl…
Solutions of SPDE's associated with a stochastic flow
Suprio Bhar, Rajeev Bhaskaran, Barun Sarkar
We consider the following stochastic partial differential equation, \begin{align*} &dY_t=L^\ast Y_tdt+A^\ast Y_t\cdot dB_t\\ &Y_0=ψ, \end{align*} associated with a stochastic flow…
Ito formula for mild solutions of SPDEs with Gaussian and non-Gaussian noise and applications to stability properties
S. Albeverio, L. Gawarecki, V. Mandrekar +2
We use Yosida approximation to find an Itô formula for mild solutions of SPDEs with Gaussian and non-Gaussian coloured noise, the non Gaussian nois…