Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
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Publication:1263880
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)
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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
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