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2011 Pathwise Differentiability for SDEs in a Smooth Domain with Reflection
Sebastian Andres
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Electron. J. Probab. 16: 845-879 (2011). DOI: 10.1214/EJP.v16-872

Abstract

In this paper we study a Skorohod SDE in a smooth domain with normal reflection at the boundary, in particular we prove that the solution is pathwise differentiable with respect to the deterministic starting point. The resulting derivatives evolve according to an ordinary differential equation, when the process is in the interior of the domain, and they are projected to the tangent space, when the process hits the boundary.

Citation

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Sebastian Andres. "Pathwise Differentiability for SDEs in a Smooth Domain with Reflection." Electron. J. Probab. 16 845 - 879, 2011. https://doi.org/10.1214/EJP.v16-872

Information

Accepted: 22 April 2011; Published: 2011
First available in Project Euclid: 1 June 2016

zbMATH: 1231.60050
MathSciNet: MR2793243
Digital Object Identifier: 10.1214/EJP.v16-872

Subjects:
Primary: 60J55
Secondary: 60H10

JOURNAL ARTICLE
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Vol.16 • 2011
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