Integration by parts formula for exit times of one dimensional diffusions

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

Authors: Noufel Frikha, Arturo Kohatsu-Higa, Libo Li 

Publication date: 1 October 2024

Mathematics Subject Classification ID

Stochastic analysis (60Hxx)

Cites Work

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• 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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