On the generalized differentiability on the initial data of the flow generated by stochastic equation with reflection

MaRDI QIDQ3607400zbMATH OpenFDO

Authors A. Yu. Pylypenko

Publication date 28 February 2009

Full work available at URL http://www.ams.org/tpms/2007-75-00/S0094-9000-08-00721-7/home.html

zbMATH Keywords

stochastic flowgeneralized differentiabilityinitial datastochastic equation with reflection

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(8)

• Differentiability of stochastic flow of reflected Brownian motions
• Flows generated by stochastic equations with reflection
• Bismut-Elworthy's formula and random walk representation for SDEs with reflection
• On the stochastic flow generated by the one default model in one-dimensional case
• Brownian earthworm
• Properties of the Flows Generated by Stochastic Equations with Reflection
• Pathwise differentiability for SDEs in a smooth domain with reflection
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)

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