Bismut-Elworthy's formula and random walk representation for SDEs with reflection (Q2485857): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 01:47, 3 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
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
