@article{TVP_2014_59_1_a8,
author = {S. A. Gusev and N. G. Dokuchaev},
title = {On differentiation of functionals containing the first exit of a diffusion process from a domain},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {159--168},
year = {2014},
volume = {59},
number = {1},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_2014_59_1_a8/}
}
TY - JOUR AU - S. A. Gusev AU - N. G. Dokuchaev TI - On differentiation of functionals containing the first exit of a diffusion process from a domain JO - Teoriâ veroâtnostej i ee primeneniâ PY - 2014 SP - 159 EP - 168 VL - 59 IS - 1 UR - http://geodesic.mathdoc.fr/item/TVP_2014_59_1_a8/ LA - ru ID - TVP_2014_59_1_a8 ER -
%0 Journal Article %A S. A. Gusev %A N. G. Dokuchaev %T On differentiation of functionals containing the first exit of a diffusion process from a domain %J Teoriâ veroâtnostej i ee primeneniâ %D 2014 %P 159-168 %V 59 %N 1 %U http://geodesic.mathdoc.fr/item/TVP_2014_59_1_a8/ %G ru %F TVP_2014_59_1_a8
S. A. Gusev; N. G. Dokuchaev. On differentiation of functionals containing the first exit of a diffusion process from a domain. Teoriâ veroâtnostej i ee primeneniâ, Tome 59 (2014) no. 1, pp. 159-168. http://geodesic.mathdoc.fr/item/TVP_2014_59_1_a8/
[1] Dokuchaev N. G., “O momentakh pervogo vykhoda dlya odnorodnykh diffuzionnykh protsessov”, Teoriya veroyatn. i ee primen., 31:3 (1986), 565–566 | MR
[2] Dokuchaev N., “Estimates for distances between first exit times via parabolic equations in unbounded cylinders”, Probab. Theory Related Fields, 129:2 (2004), 290–314 | DOI | MR | Zbl
[3] Fournié E., Lasry J. M., Lebuchoux J., Lions P. L., Touzi N., “Applications of Malliavin calculus to Monte Carlo methods in finance”, Finance Stoch., 3:4 (1999), 391–412 | DOI | MR | Zbl
[4] Montero M., Kohatsu-Higa A., “Malliavin calculus applied to finance”, Phys. A, 320:1–4 (2003), 548–570 | DOI | MR | Zbl
[5] Gusev S. A., “Otsenka proizvodnykh po parametram funktsionalov diffuzionnogo protsessa, dvizhuschegosya v oblasti s pogloschayuschei granitsei”, Sib. zhurn. vychisl. matem., 11:4 (2008), 385–404 | MR | Zbl
[6] Itô K., “On a stochastic integral equation”, Proc. Japan Acad., 22:1–4 (1946), 32–35 | MR | Zbl
[7] Gikhman I. I., Skorokhod A. V., Vvedenie v teoriyu sluchainykh protsessov, Nauka, M., 1977, 567 pp. | MR
[8] Ladyzhenskaya O. A., Solonnikov V. A., Uraltseva N. N., Lineinye i kvazilineinye uravneniya parabolicheskogo tipa, Nauka, M., 1967, 736 pp. | MR
[9] Gikhman I. I., Skorokhod A. V., Stokhasticheskie differentsialnye uravneniya, Naukova dumka, Kiev, 1968, 354 pp. | MR | Zbl
[10] Lieberman G. E., Second Order Parabolic Differential Equations, World Scientific Publ. Co., 2005 | MR