Boundary sensitivities for diffusion processes in time dependent domains (Q853852): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s00245-006-0863-4 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2171389455 / rank | |||
Normal rank |
Latest revision as of 23:00, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Boundary sensitivities for diffusion processes in time dependent domains |
scientific article |
Statements
Boundary sensitivities for diffusion processes in time dependent domains (English)
0 references
17 November 2006
0 references
We study the sensitivity, with respect to a time dependent domain \({\mathcal D}_s\), of expectations of functionals of a diffusion process stopped at the exit from \({\mathcal D}_s\) or normally reflected at the boundary of \({\mathcal D}_s\). We establish a differentiability result and give an explicit expression for the gradient that allows the gradient to be computed by Monte Carlo methods. Applications to optimal stopping problems and pricing of American options, to singular stochastic control and others are dicussed.
0 references
stopped diffusion
0 references
reflected diffusion
0 references
time dependent domain
0 references
sensitivity analysis
0 references
Monte Carlo methods
0 references
free boundary
0 references