Boundary sensitivities for diffusion processes in time dependent domains

DOI10.1007/S00245-006-0863-4zbMATH Open1109.49043OpenAlexW2171389455MaRDI QIDQ853852FDOQ853852

Authors: C. Costantini, Emmanuel Gobet, Nicole El Karoui 

Publication date: 17 November 2006

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-006-0863-4

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zbMATH Keywords

sensitivity analysisMonte Carlo methodsfree boundaryreflected diffusiontime dependent domainstopped diffusion

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Sensitivity analysis for optimization problems on manifolds (49Q12) Stopping times; optimal stopping problems; gambling theory (60G40) Boundary theory for Markov processes (60J50)

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• On the Principle of not Feeling the Boundary for Diffusion Processes
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