Geodesic
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 
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/
@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

Voir la notice de l'article provenant de la source Math-Net.Ru

[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