On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a Domain

DOI10.1137/S0040585X97986965zbMath1314.60143OpenAlexW2028495775MaRDI QIDQ5252477

S. A. Gusev, Nikolai G. Dokuchaev

Publication date: 2 June 2015

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986965

zbMATH Keywords

diffusion processfirst exit timeabsorbing boundarydifferentiation with respect to parameters

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

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• Malliavin calculus applied to finance
• Estimates for distances between first exit times via parabolic equations in unbounded cylinders
• Applications of Malliavin calculus to Monte Carlo methods in finance
• On First Exit Times for Homogeneous Diffusion Processes
• On a stochastic integral equation

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