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

DOI10.1214/10-AIHP357MaRDI QIDQ537129zbMATH OpenFDO

Authors 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)

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• The Malliavin Calculus and Related Topics

Cited in

(7)

• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• Derivatives of solutions of semilinear parabolic PDEs and variational inequalities with Neumann boundary conditions
• Maximum principle for stochastic control of SDEs with measurable drifts
• Multivalued monotone stochastic differential equations with jumps
• A stochastic approach to a multivalued Dirichlet-Neumann problem
• The Generator of the Transition Semigroup Corresponding to a Stochastic Variational Inequality
• Numerical solution of variational inequalities: localization with Dirichlet conditions

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