Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection

DOI10.1214/07-AIHP151zbMath1171.60013MaRDI QIDQ838307

Sebastian Andres

Publication date: 24 August 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/78010

zbMATH Keywords

oblique reflectionstochastic differential equations with reflectionpolyhedral domains

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Boundary theory for Markov processes (60J50)

Related Items

On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ Stratification as a General Variance Reduction Method for Markov Chain Monte Carlo ⋮ Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant

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