Boundary sensitivities for diffusion processes in time dependent domains
From MaRDI portal
Publication:853852
DOI10.1007/s00245-006-0863-4zbMath1109.49043OpenAlexW2171389455MaRDI QIDQ853852
Emmanuel Gobet, Nicole El Karoui, Cristina Costantini
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
sensitivity analysisMonte Carlo methodsfree boundaryreflected diffusiontime dependent domainstopped diffusion
Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Boundary theory for Markov processes (60J50) Sensitivity analysis for optimization problems on manifolds (49Q12)
Related Items
Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes ⋮ The Skorohod oblique reflection problem in time-dependent domains ⋮ Stochastic and partial differential equations on non-smooth time-dependent domains ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains ⋮ Dynamics and spike trains statistics in conductance-based integrate-and-fire neural networks with chemical and electric synapses ⋮ Captive diffusions and their applications to order-preserving dynamics ⋮ Stopped diffusion processes: boundary corrections and overshoot ⋮ On a probabilistic interpretation of shape derivatives of Dirichlet groundstates with application to Fermion nodes ⋮ Pricing American options by exercise rate optimization ⋮ Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata ⋮ Reflected BSDE of Wiener-Poisson type in time-dependent domains ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains ⋮ An integral equation for Root's barrier and the generation of Brownian increments ⋮ On a family of coupled diffusions that can never change their initial order
