Forward-backward stochastic differential equations generated by Bernstein diffusions

DOI10.1080/07362994.2014.968669MaRDI QIDQ4981996zbMATH OpenOpenAlexFDO

Authors Ana Bela Cruzeiro, Pierre-A. Vuillermot

Publication date 23 March 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.4388

zbMATH Keywords

Bernstein diffusionsforward-backward stochastic differential equationsparabolic PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Abstract: In this short article we present new results that bring about hitherto unknown relations between certain Bernstein diffusions wandering in bounded convex domains of Euclidean space on the one hand, and processes which typically occur in forward-backward systems of stochastic differential equations on the other hand. A key point in establishing such relations lies in the fact that the Bernstein diffusions we consider are actually reversible It^o diffusions.

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Cited in

(4)

• Bernstein diffusions for a class of linear parabolic partial differential equations
• On some Gaussian Bernstein processes in \(\mathbb{R}^N\) and the periodic Ornstein-Uhlenbeck process
• Time-symmetric optimal stochastic control problems in space-time domains
• From second-order differential geometry to stochastic geometric mechanics

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