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Book Sections Year : 2017

Parametrix Methods for One-Dimensional Reflected SDEs

Abstract

In this article, we revisit in a didactic manner the forward and backward approaches of the parametrix method for one-dimensional reflected stochastic differential equations on the half line. We give probabilistic expressions for the expectation of functionals of its solution and we also discuss properties of the associated density.
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Dates and versions

hal-01670011 , version 1 (21-12-2017)

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Aurélien Alfonsi, Masafumi Hayashi, Arturo Kohatsu-Higa. Parametrix Methods for One-Dimensional Reflected SDEs. Modern Problems of Stochastic Analysis and Statistics Selected Contributions In Honor of Valentin Konakov , Springer Proceedings in Mathematics & Statistics (208), Springer, 2017, 978-3-319-65313-6. ⟨10.1007/978-3-319-65313-6_3⟩. ⟨hal-01670011⟩
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