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

DOI10.1214/10-AIHP357zbMath1236.60051MaRDI QIDQ537129

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 formula; reflected backward stochastic differential equations; derivatives of flows of reflected SDEs and BSDEs; stochastic differential equations with refection

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35K55: Nonlinear parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

Pathwise differentiability of reflected diffusions in convex polyhedral domains, Multivalued monotone stochastic differential equations with jumps

Cites Work

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