On differentiation of functionals containing the first exit of a diffusion process from a domain
One of the problems arising in the differentiation of functionals of random diffusion processes in domains with absorbing boundaries is to compute parametric derivatives for the functionals containing the first exit time τ from the domain for the underlying diffusion process. Earlier work [S. A. Gus...
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| Format: | Journal Article |
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Society for Industrial and Applied Mathematics
2015
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| Online Access: | http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/39129 |