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

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

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• The Malliavin Calculus and Related Topics
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Adapted solution of a backward stochastic differential equation
• Fully nonlinear Neumann type boundary conditions for second-order elliptic and parabolic equations
• Representation theorems for backward stochastic differential equations
• Euler's approximations of solutions of SDEs with reflecting boundary.
• Generalized BSDEs and nonlinear Neumann boundary value problems
• An explicit formula for the Skorokhod map on \([0,a]\)
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
• Representations and regularities for solutions to BSDEs with reflections
• Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)

Cited In (3)

• 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

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