Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions
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Publication:4981996
DOI10.1080/07362994.2014.968669zbMath1336.60110arXiv1305.4388OpenAlexW1995100025MaRDI QIDQ4981996
Pierre-A. Vuillermot, Ana Bela Cruzeiro
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)
Related Items (3)
Time-symmetric optimal stochastic control problems in space-time domains ⋮ On some Gaussian Bernstein processes in and the periodic Ornstein–Uhlenbeck process ⋮ From second-order differential geometry to stochastic geometric mechanics
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