Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)

zbMath0688.60043MaRDI QIDQ1263880

Dominique Lépingle, David Nualart, Marta Sanz-Solé

Publication date: 1989

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

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1989__25_3_283_0

zbMATH Keywords

Malliavin calculusstochastic differential equation with reflectionderivatives of Wiener functionals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Absolute continuity of the law of the solution to the 3-dimensional stochastic wave equation. ⋮ Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes ⋮ Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process ⋮ Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions

This page was built for publication: Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)