Integration by parts formula for exit times of one dimensional diffusions

DOI10.1007/978-981-97-0225-1_9MaRDI QIDQ6612909FDO

Authors Noufel Frikha, Arturo Kohatsu-Higa, Libo Li

Publication date 1 October 2024

Mathematics Subject Classification ID

Stochastic analysis (60Hxx)

Recommendations

• First passage probabilities of one-dimensional diffusion processes
• The moments of a diffusion process
• Integration by parts formula for killed processes: a point of view from approximation theory
• Uniqueness of first passage time distributions via Fredholm integral equations
• scientific article; zbMATH DE number 94966

Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Absolute continuity for some one-dimensional processes
• Eigenvalue expansions for diffusion hitting times
• From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Integration by parts formula and applications to equations with jumps
• Integration by parts formula for killed processes: a point of view from approximation theory
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Last exit decompositions and regularity at the boundary of transition probabilities
• Malliavin calculus for Markov chains using perturbations of time
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
• Smoothness of stopping times of diffusion processes
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• The Poisson kernel for certain degenerate elliptic operators
• The spectral decomposition of a diffusion hitting time
• Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
• Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space

This page was built for publication: Integration by parts formula for exit times of one dimensional diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6612909)