Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
Abstract
In this paper we explicit the derivative of the flows of one-dimensional reflected diffusion processes. We then get stochastic representations for derivatives of viscosity solutions of one-dimensional semilinear parabolic partial differential equations and parabolic variational inequalities with Neumann boundary conditions.
Origin | Publisher files allowed on an open archive |
---|
Loading...