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

From MaRDI portal
Added link to MaRDI item.
RedirectionBot (talk | contribs)
Removed claims
Property / author
 
Property / author: Jean-Dominique Deuschel / rank
Normal rank
 
Property / reviewed by
 
Property / reviewed by: Gheorghe Stoica / rank
Normal rank
 

Revision as of 05:19, 12 February 2024

scientific article
Language Label Description Also known as
English
Bismut-Elworthy's formula and random walk representation for SDEs with reflection
scientific article

    Statements

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

    Identifiers