Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions

Mireille Bossy; Mamadou Cissé; Denis Talay

inria-00381854, version 2

Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions

Mireille Bossy ( Auteur à contacter de préférence ) ¹, Mamadou Cissé ()^a^, 2, Denis Talay () ¹

N° RR-6921 (2009)

Résumé : 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.

a – ENSAE - Sénégale
1 : TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN)
INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL)
2 : Ecole Nationale de la Statistique et de l'Analyse Economique (ENSAE)
Ecole Nationale de la Statistique et de l'Analyse Economique

inria-00381854, version 2
http://hal.inria.fr/inria-00381854
oai:hal.inria.fr:inria-00381854
Contributeur : Mireille Bossy <>
Soumis le : Mercredi 6 Mai 2009, 15:59:28
Dernière modification le : Lundi 18 Mai 2009, 15:58:53

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