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Pathwise Differentiability for SDEs in a Smooth Domain with Reflection


 
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1. Title Title of document Pathwise Differentiability for SDEs in a Smooth Domain with Reflection
 
2. Creator Author's name, affiliation, country Sebastian Andres; University of British Columbia; Canada
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Stochastic differential equation with reflection; normal reflection; local time
 
3. Subject Subject classification 60J55; 60H10
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2011-04-22
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/872
 
10. Identifier Digital Object Identifier 10.1214/EJP.v16-872
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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