Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
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Publication:537129
DOI10.1214/10-AIHP357zbMath1236.60051MaRDI QIDQ537129
Mireille Bossy, Mamadou Cissé, Denis Talay
Publication date: 19 May 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/240022
Feynman-Kac formula; reflected backward stochastic differential equations; derivatives of flows of reflected SDEs and BSDEs; stochastic differential equations with refection
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K55: Nonlinear parabolic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
Related Items
Maximum principle for stochastic control of SDEs with measurable drifts, Pathwise differentiability of reflected diffusions in convex polyhedral domains, Multivalued monotone stochastic differential equations with jumps
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