Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
type: Item
instance of: scholarly article
title: Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
zbMATH Open document ID: 0688.60043
author: Dominique Lépingle
author: David Nualart
author: Marta Sanz-Solé
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 1989-01-01T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77353
review text: In the past years, a differential calculus on Wiener space has been developed by various authors, motivated in particular by the Malliavin calculus, and has become an important part of Stochastic Analysis. However, except for solutions of stochastic differential equations, derivatives of Wiener functionals have been computed only in a few examples. The authors of the paper under review compute the derivative of the solution of a stochastic differential equation with reflection. They then apply their result to obtain a sufficient condition for the law of the solution at time t to be absolutely continuous with respect to Lebesgue measure.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 4128177
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: derivatives of Wiener functionals
zbMATH Keywords: stochastic differential equation with reflection
reviewed by: Etienne Pardoux
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 4128177