Bismut-Elworthy's formula and random walk representation for SDEs with reflection
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Publication:2485857
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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Cites work
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- Convex duality and the Skorokhod problem. I
- Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
- Fluctuations for a \(\nabla\varphi\) interface model with repulsion from a wall
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- Integration by parts on the law of the reflecting Brownian motion
- Large deviations and concentration properties for _ interface models
- Perturbations singulieres et solutions stochastiques de problèmes de D. Neumann-Spencer
- Stochastic differential equations with reflecting boundary condition in convex regions
- The dynamic of entropic repulsion
Cited in
(19)- On directional derivatives of Skorokhod maps in convex polyhedral domains
- Multiplicative functional for reflected Brownian motion via deterministic ODE
- Heat flow regularity, Bismut-Elworthy-Li's derivative formula, and pathwise couplings on Riemannian manifolds with Kato bounded Ricci curvature
- A dual skew symmetry for transient reflected Brownian motion in an orthant
- Piecewise-tunneled captive processes and corridored random particle systems
- Pathwise differentiability of reflected diffusions in convex polyhedral domains
- Bismut-Elworthy-Li formulae for Bessel processes
- Captive diffusions and their applications to order-preserving dynamics
- On a family of coupled diffusions that can never change their initial order
- Captive jump processes for bounded random systems with discontinuous dynamics
- Efficient Bayesian Computation for Low-Photon Imaging Problems
- Uniqueness of invariant measures of infinite dimensional stochastic differential equations driven by Lévy noises
- Mosco convergence of gradient forms with non-convex interaction potential
- From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers
- Pointwise explicit bound for derivative of solutions to linear parabolic PDEs with Neumann boundary conditions
- Rearranged stochastic heat equation
- A probabilistic representation for the gradient in a linear parabolic PDE with Neumann boundary condition
- Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
- The dynamic of entropic repulsion
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