Pathwise differentiability of reflected diffusions in convex polyhedral domains (Q2337831): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.02278
@@ Property / arXiv ID: 1705.02278 / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
+Normal rank
@@ Property / cites work @@
+Pathwise differentiability for SDEs in a smooth domain with reflection
+Normal rank
@@ Property / cites work @@
+Atlas models of equity markets
@@ Property / cites work: Atlas models of equity markets / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
+Normal rank
@@ Property / cites work @@
+Long time asymptotics for constrained diffusions in polyhedral domains
+Normal rank
@@ Property / cites work @@
+Differentiability of stochastic flow of reflected Brownian motions
+Normal rank
@@ Property / cites work @@
+Brownian motion reflected on Brownian motion
@@ Property / cites work: Brownian motion reflected on Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q3354428
@@ Property / cites work: Q3354428 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong approximations for multiclass feedforward queueing networks.
+Normal rank
@@ Property / cites work @@
+Boundary sensitivities for diffusion processes in time dependent domains
+Normal rank
@@ Property / cites work @@
+Bismut-Elworthy's formula and random walk representation for SDEs with reflection
+Normal rank
@@ Property / cites work @@
+Sensitivity analysis for diffusion processes constrained to an orthant
+Normal rank
@@ Property / cites work @@
+On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Hybrid Atlas models
@@ Property / cites work: Hybrid Atlas models / rank @@
+Normal rank
@@ Property / cites work @@
+A Dirichlet process characterization of a class of reflected diffusions
+Normal rank
@@ Property / cites work @@
+On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries
+Normal rank
@@ Property / cites work @@
+An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries
+Normal rank
@@ Property / cites work @@
+Q3128639
@@ Property / cites work: Q3128639 / rank @@
+Normal rank
@@ Property / cites work @@
+A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
+Normal rank
@@ Property / cites work @@
+On directional derivatives of Skorokhod maps in convex polyhedral domains
+Normal rank
@@ Property / cites work @@
+Stochastic calculus of variations in mathematical finance.
+Normal rank
@@ Property / cites work @@
+Strong Approximations for Time-Dependent Queues
@@ Property / cites work: Strong Approximations for Time-Dependent Queues / rank @@
+Normal rank
@@ Property / cites work @@
+State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
+Normal rank
@@ Property / cites work @@
+Directional Derivatives of Oblique Reflection Maps
+Normal rank
@@ Property / cites work @@
+Q3940587
@@ Property / cites work: Q3940587 / rank @@
+Normal rank
@@ Property / cites work @@
+A Heavy Traffic Limit Theorem for Networks of Queues with Multiple Customer Types
+Normal rank
@@ Property / cites work @@
+Reflected diffusions defined via the extended Skorokhod map
+Normal rank
@@ Property / cites work @@
+Fluid and heavy traffic diffusion limits for a generalized processor sharing model
+Normal rank
@@ Property / cites work @@
+The heavy traffic limit of an unbalanced generalized processor sharing model
+Normal rank
@@ Property / cites work @@
+Open Queueing Networks in Heavy Traffic
@@ Property / cites work: Open Queueing Networks in Heavy Traffic / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5670045
@@ Property / cites work: Q5670045 / rank @@
+Normal rank
@@ Property / cites work @@
+Brownian motion in a wedge with oblique reflection
+Normal rank
@@ Property / cites work @@
+Dyson's Brownian motions, intertwining and interlacing
+Normal rank
@@ Property / cites work @@
+Stochastic-Process Limits
@@ Property / cites work: Stochastic-Process Limits / rank @@
+Normal rank
@@ Property / cites work @@
+A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Fluctuations for a \(\nabla\varphi\) interface model with repulsion from a wall
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2337831