On directional derivatives of Skorokhod maps in convex polyhedral domains (Q1650088): Difference between revisions

The authors study directional derivatives of Lipschitz continuous Skorokhod maps in convex polyhedral domains. In particular, they discuss the existence of such directional derivatives and show that its right-continuous regularization can be described as the unique solution of a Skorokhod problem. This research is motivated by the fact that sensitivity analysis and the study of differentiability of a stochastic flow is challenging because of abrupt changes in the dynamics and nonsmoothness at the boundary