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

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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• System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains
• Captive diffusions and their applications to order-preserving dynamics
• On a probabilistic interpretation of shape derivatives of Dirichlet groundstates with application to fermion nodes
• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• On a family of coupled diffusions that can never change their initial order
• Stochastic and partial differential equations on non-smooth time-dependent domains
• On the Principle of not Feeling the Boundary for Diffusion Processes
• Reflected BSDE of Wiener-Poisson type in time-dependent domains
• Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
• The Skorohod oblique reflection problem in time-dependent domains
• Stopped diffusion processes: boundary corrections and overshoot
• Pricing American options by exercise rate optimization
• An integral equation for Root's barrier and the generation of Brownian increments
• Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain
• Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata
• From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers

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