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

generalized differentiabilityinitial datastochastic equation with reflectionstochastic flow

Mathematics Subject Classification ID

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

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Cited in

(9)

• Differentiability of stochastic flow of reflected Brownian motions
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
• Brownian earthworm
• 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
• Flows generated by stochastic equations with reflection
• Transfer of absolute continuity by a flow generated by a stochastic equation with reflection
• Properties of the Flows Generated by Stochastic Equations with Reflection
• Pathwise differentiability for SDEs in a smooth domain with reflection

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