Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions

DOI10.1214/10-AIHP357zbMATH Open1236.60051MaRDI QIDQ537129FDOQ537129

Mireille Bossy, Mamadou Cissé, Denis Talay

Publication date: 19 May 2011

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

Full work available at URL: https://eudml.org/doc/240022

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zbMATH Keywords

Feynman-Kac formulareflected backward stochastic differential equationsderivatives of flows of reflected SDEs and BSDEsstochastic differential equations with refection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The Malliavin Calculus and Related Topics
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• Adapted solution of a backward stochastic differential equation
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• Euler's approximations of solutions of SDEs with reflecting boundary.
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• An explicit formula for the Skorokhod map on \([0,a]\)
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• Reflected forward-backward SDEs and obstacle problems with boundary conditions
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• Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
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Cited In (4)

• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• Maximum principle for stochastic control of SDEs with measurable drifts
• Multivalued monotone stochastic differential equations with jumps
• The Generator of the Transition Semigroup Corresponding to a Stochastic Variational Inequality

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