Bismut-Elworthy's formula and random walk representation for SDEs with reflection (Q2485857): Difference between revisions

The paper considers a finite system of stochastic differential equations with reflection and gives several properties of first derivatives with respect to the initial condition.

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zbMATH Keywords

Stochastic differential equations with reflection

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Malliavin calculus

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reviewed by

Gheorghe Stoica

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spa.2005.01.002

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cites work

Perturbations singulieres et solutions stochastiques de problèmes de D. Neumann-Spencer

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A Random Walk and a Wiener Process Near a Maximum

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Large deviations and concentration properties for \(\nabla_\varphi \) interface models

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The dynamic of entropic repulsion

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Convex duality and the Skorokhod problem. I

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Q4896044

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Q3992729

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Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

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Q4337939

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Q3997782

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Q4492756

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Stochastic differential equations with reflecting boundary condition in convex regions

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Fluctuations for a \(\nabla\varphi\) interface model with repulsion from a wall

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Integration by parts on the law of the reflecting Brownian motion

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Identifiers

zbMATH Open document ID

1071.60044

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DOI

10.1016/j.spa.2005.01.002

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2485857

@@ Property / author @@
-Jean-Dominique Deuschel
@@ Property / author: Jean-Dominique Deuschel / rank @@
-Normal rank
@@ Property / reviewed by @@
-Gheorghe Stoica
@@ Property / reviewed by: Gheorghe Stoica / rank @@
-Normal rank
@@ Property / author @@
+Jean-Dominique Deuschel
@@ Property / author: Jean-Dominique Deuschel / rank @@
+Normal rank
@@ Property / reviewed by @@
+Gheorghe Stoica
@@ Property / reviewed by: Gheorghe Stoica / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2005.01.002
+Normal rank
@@ Property / OpenAlex ID @@
+W1977542332
@@ Property / OpenAlex ID: W1977542332 / rank @@
+Normal rank
@@ Property / cites work @@
+Perturbations singulieres et solutions stochastiques de problèmes de D. Neumann-Spencer
+Normal rank
@@ Property / cites work @@
+A Random Walk and a Wiener Process Near a Maximum
@@ Property / cites work: A Random Walk and a Wiener Process Near a Maximum / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations and concentration properties for \(\nabla_\varphi \) interface models
+Normal rank
@@ Property / cites work @@
+The dynamic of entropic repulsion
@@ Property / cites work: The dynamic of entropic repulsion / rank @@
+Normal rank
@@ Property / cites work @@
+Convex duality and the Skorokhod problem. I
@@ Property / cites work: Convex duality and the Skorokhod problem. I / rank @@
+Normal rank
@@ Property / cites work @@
+Q4896044
@@ Property / cites work: Q4896044 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
+Normal rank
@@ Property / cites work @@
+Q4337939
@@ Property / cites work: Q4337939 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3997782
@@ Property / cites work: Q3997782 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4492756
@@ Property / cites work: Q4492756 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with reflecting boundary condition in convex regions
+Normal rank
@@ Property / cites work @@
+Fluctuations for a \(\nabla\varphi\) interface model with repulsion from a wall
+Normal rank
@@ Property / cites work @@
+Integration by parts on the law of the reflecting Brownian motion
+Normal rank