On some Gaussian Bernstein processes in and the periodic Ornstein–Uhlenbeck process

DOI10.1080/07362994.2016.1156547zbMath1342.35134arXiv1508.02539OpenAlexW1903231146MaRDI QIDQ3185977

Jean-Claude Zambrini, Pierre-A. Vuillermot

Publication date: 8 August 2016

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

Full work available at URL: https://arxiv.org/abs/1508.02539

zbMATH Keywords

parabolic equationsperiodic processesBernstein processes

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Special processes (60K99) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

Stochastic geometric mechanics in nonequilibrium thermodynamics: Schrödinger meets Onsager ^* ⋮ On the time evolution of Bernstein processes associated with a class of parabolic equations

Cites Work

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• Periodic Linear Differential Stochastic Processes
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• Analytical inversion of general tridiagonal matrices
• Periodic Ornstein-Uhlenbeck processes driven by Lévy processes
• Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions
• On the Symmetrized Kronecker Power of a Matrix and Extensions of Mehler’s Formula for Hermite Polynomials

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