Pathwise differentiability of reflected diffusions in convex polyhedral domains

DOI10.1214/18-AIHP924zbMath1466.60076arXiv1705.02278MaRDI QIDQ2337831

Kavita Ramanan, David Lipshutz

Publication date: 20 November 2019

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.02278

zbMATH Keywords

sensitivity analysisstochastic flowreflected Brownian motionpathwise differentiabilityreflected diffusionboundary jitter propertyderivative problemderivative processdirectional derivative of the extended Skorokhod map

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sensitivity, stability, parametric optimization (90C31) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains, Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity, Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant, Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone, A dual skew symmetry for transient reflected Brownian motion in an orthant

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