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

    226551_154340_GusevDokuchaevMyFinal.pdf (210.9Kb)
    226550_154334_tvpGusevDokuchaevEng.pdf (156.0Kb)
    Access Status
    Open access
    Authors
    Gusev, S.
    Dokuchaev, Nikolai
    Date
    2015
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Gusev, S. and Dokuchaev, N. 2015. On differentiation of functionals containing the first exit of a diffusion process from a domain. Theory of Probability and its Applications. 59 (1): pp. 136-144.
    Source Title
    Theory of Probability and its Applications
    DOI
    10.1137/S0040585X97986965
    ISSN
    0040585X
    School
    Department of Mathematics and Statistics
    Funding and Sponsorship
    http://purl.org/au-research/grants/arc/DP120100928
    Remarks

    Copyright © 2015 Society for Industrial and Applied Mathematics

    URI
    http://hdl.handle.net/20.500.11937/39129
    Collection
    • Curtin Research Publications
    Abstract

    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.

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