Pathwise differentiability for SDEs in a smooth domain with reflection

DOI10.1214/EJP.V16-872zbMATH Open1231.60050MaRDI QIDQ638409FDOQ638409

Authors: Sebastian Andres 

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle36a6.html

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zbMATH Keywords

local timenormal reflectionstochastic differential equation with reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Local time and additive functionals (60J55)

Cited In (10)

• Differentiability of stochastic flow of reflected Brownian motions
• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
• Reflection couplings and contraction rates for diffusions
• Bismut-Elworthy's formula and random walk representation for SDEs with reflection
• Diffusion processes with reflection.
• Brownian earthworm
• On directional derivatives of Skorokhod maps in convex polyhedral domains
• Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization
• SDEs with oblique reflections on nonsmooth domains

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