Pathwise differentiability for SDEs in a smooth domain with reflection

DOI10.1214/EJP.V16-872zbMath1231.60050MaRDI QIDQ638409

Sebastian Andres

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle36a6.html

zbMATH Keywords

local timenormal reflectionstochastic differential equation with reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Local time and additive functionals (60J55)

Related Items (4)

On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ Reflection couplings and contraction rates for diffusions ⋮ Brownian earthworm ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains

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