Constructing gamma-martingales with prescribed limit, using backwards SDE (Q1902950)

The author shows the existence of the so-called \(\Gamma\)-martingale (i.e. a stochastic process with values in a manifold \(M\) with the connection \(\Gamma\) which naturally generalizes the notion of continuous local martingale on Euclidean space) with the prescribed limit \(U\) (i.e. the value of the above process at given \(T > 0\) is \(U)\) under rather weak conditions. The main point of the construction is the use of Pardoux-Peng backward stochastic differential equations (SDE). In particular a certain new existence result for Pardoux-Peng SDE's is proved and some elegant scheme of arguments is applied in order to obtain the desired \(\Gamma\)-martingale. To avoid technical difficulties a Euclidean space is taken as \(M\) (but the connection may not be Euclidean), thus in particular the compactness of the manifold is not assumed. The Christoffel symbols of the connection are Lipschitz continuous and bounded and the connection satisfies some convexity conditions. Applications include the Dirichlet problem and heat equation for harmonic mappings, and other PDE's.