Integration by parts formula for exit times of one dimensional diffusions

DOI10.1007/978-981-97-0225-1_9MaRDI QIDQ6612909FDOQ6612909

Arturo Kohatsu-Higa, Libo Li, Noufel Frikha

Publication date: 1 October 2024

Mathematics Subject Classification ID

Stochastic analysis (60Hxx)

Cites Work

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• Absolute continuity for some one-dimensional processes
• The spectral decomposition of a diffusion hitting time
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• The Poisson kernel for certain degenerate elliptic operators
• Smoothness of stopping times of diffusion processes
• Integration by parts formula and applications to equations with jumps
• Eigenvalue expansions for diffusion hitting times
• Last exit decompositions and regularity at the boundary of transition probabilities
• From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
• Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
• Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
• Integration by parts formula for killed processes: a point of view from approximation theory
• Malliavin calculus for Markov chains using perturbations of time
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

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