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

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Property / author: Jean-Dominique Deuschel / rank
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Property / reviewed by: Gheorghe Stoica / rank
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Property / author: Jean-Dominique Deuschel / rank
 
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Property / reviewed by: Gheorghe Stoica / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.spa.2005.01.002 / rank
 
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Property / OpenAlex ID: W1977542332 / rank
 
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Latest revision as of 13:54, 10 June 2024

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Bismut-Elworthy's formula and random walk representation for SDEs with reflection
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    Bismut-Elworthy's formula and random walk representation for SDEs with reflection (English)
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    5 August 2005
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    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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    Stochastic differential equations with reflection
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    Malliavin calculus
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