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 |
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| author | Gusev, S. Dokuchaev, Nikolai |
| author_facet | Gusev, S. Dokuchaev, Nikolai |
| author_sort | Gusev, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. Gusev, Numer. Anal. Appl., 1 (2008), pp. 314-331] proposed a method for solving this problem under some condition of existence of mean square derivatives for τ with respect to the parameter; this condition was restrictive and difficult to verify. In this paper, we show that this condition can be waived under some mild assumptions. |
| first_indexed | 2025-11-14T08:57:24Z |
| format | Journal Article |
| id | curtin-20.500.11937-39129 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:57:24Z |
| publishDate | 2015 |
| publisher | Society for Industrial and Applied Mathematics |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-391292017-09-13T14:22:14Z On differentiation of functionals containing the first exit of a diffusion process from a domain Gusev, S. Dokuchaev, Nikolai differentiation with respect to the parameters the first exit time diffusion process absorbing boundary 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. Gusev, Numer. Anal. Appl., 1 (2008), pp. 314-331] proposed a method for solving this problem under some condition of existence of mean square derivatives for τ with respect to the parameter; this condition was restrictive and difficult to verify. In this paper, we show that this condition can be waived under some mild assumptions. 2015 Journal Article http://hdl.handle.net/20.500.11937/39129 10.1137/S0040585X97986965 http://purl.org/au-research/grants/arc/DP120100928 Society for Industrial and Applied Mathematics fulltext |
| spellingShingle | differentiation with respect to the parameters the first exit time diffusion process absorbing boundary Gusev, S. Dokuchaev, Nikolai On differentiation of functionals containing the first exit of a diffusion process from a domain |
| title | On differentiation of functionals containing the first exit of a diffusion process from a domain |
| title_full | On differentiation of functionals containing the first exit of a diffusion process from a domain |
| title_fullStr | On differentiation of functionals containing the first exit of a diffusion process from a domain |
| title_full_unstemmed | On differentiation of functionals containing the first exit of a diffusion process from a domain |
| title_short | On differentiation of functionals containing the first exit of a diffusion process from a domain |
| title_sort | on differentiation of functionals containing the first exit of a diffusion process from a domain |
| topic | differentiation with respect to the parameters the first exit time diffusion process absorbing boundary |
| url | http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/39129 |