On directional derivatives of Skorokhod maps in convex polyhedral domains (Q1650088)
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| Language | Label | Description | Also known as |
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| English | On directional derivatives of Skorokhod maps in convex polyhedral domains |
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On directional derivatives of Skorokhod maps in convex polyhedral domains (English)
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29 June 2018
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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
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extended Skorokhod problem
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directional derivative of the Skorokhod map
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derivative problem
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reflected process
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sensitivity analysis
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stochastic flow
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oblique reflection
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boundary jitter property
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