Bernstein Diffusions for a Class of Linear Parabolic Partial Differential Equations

Abstract

In this article we prove the existence of Bernstein processes which we associate in a natural way with a class of linear parabolic initial-and final boundary value problems defined in bounded convex subsets of Euclidean space of arbitrary dimension. Under certain conditions regarding their endpoint distributions, we also prove that such processes become reversible Markov diffusions. Furthermore we show that those diffusions satisfy two It\^o 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.