A probabilistic representation of the derivative of a one dimensional killed diffusion semigroup and associated Bismut-Elworthy-Li formula

arXiv2312.07084MaRDI QIDQ6463170FDOQ6463170

Authors: Dan Crisan, Arturo Kohatsu-Higa

Publication date: 12 December 2023

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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