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

zbMATH Open1164.60385MaRDI QIDQ3607400FDOQ3607400

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

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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)

Cited In (8)

• Flows generated by stochastic equations with reflection
• Differentiability of stochastic flow of reflected Brownian motions
• 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
• Properties of the Flows Generated by Stochastic Equations with Reflection
• Brownian earthworm
• 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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