Bismut-Elworthy's formula and random walk representation for SDEs with reflection

DOI10.1016/j.spa.2005.01.002zbMath1071.60044OpenAlexW1977542332MaRDI QIDQ2485857

Lorenzo Zambotti, Jean-Dominique Deuschel

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.01.002

zbMATH Keywords

Malliavin calculusStochastic differential equations with reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

Related Items (14)

Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection ⋮ On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ The dynamic of entropic repulsion ⋮ Multiplicative functional for reflected Brownian motion via deterministic ODE ⋮ Captive jump processes for bounded random systems with discontinuous dynamics ⋮ Efficient Bayesian Computation for Low-Photon Imaging Problems ⋮ Bismut-Elworthy-Li Formulae for Bessel Processes ⋮ Uniqueness of invariant measures of infinite dimensional stochastic differential equations driven by Lévy noises ⋮ Captive diffusions and their applications to order-preserving dynamics ⋮ Heat flow regularity, Bismut-Elworthy-Li's derivative formula, and pathwise couplings on Riemannian manifolds with Kato bounded Ricci curvature ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant ⋮ Piecewise-tunneled captive processes and corridored random particle systems ⋮ On a family of coupled diffusions that can never change their initial order

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• Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

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