Bismut-Elworthy's formula and random walk representation for SDEs with reflection (Q2485857): Difference between revisions
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Revision as of 22:00, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bismut-Elworthy's formula and random walk representation for SDEs with reflection |
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Statements
Bismut-Elworthy's formula and random walk representation for SDEs with reflection (English)
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5 August 2005
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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.
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Stochastic differential equations with reflection
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Malliavin calculus
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