Bernstein diffusions for a class of linear parabolic partial differential equations
Résumé
In this article we prove the existence of Bernstein processes which we associate in a natural way with a class of non-autonomous linear parabolic initial- and
nal-boundary value problems de
ned in bounded convex subsets of Euclidean space of arbitrary dimension. Under certain conditions regarding their joint endpoint distributions, we also prove that such processes become reversible Markov di¤usions. Furthermore we show that those di¤usions satisfy two Itô equations for some suitably constructed Wiener processes, and from that analysis derive Feynman-Kac representations for the solutions to the given equations. We then illustrate some of our results by considering the heat equation with Neumann boundary conditions both in a one-dimensional bounded interval and in a two-dimensional disk.
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