On differentiation of functionals containing the first exit of a diffusion process from a domain

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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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Bibliographic Details
Main Authors:	Gusev, S., Dokuchaev, Nikolai
Format:	Journal Article
Published:	Society for Industrial and Applied Mathematics 2015
Subjects:	differentiation with respect to the parameters the first exit time diffusion process absorbing boundary
Online Access:	http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/39129

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