Concepedia

Boundary Sensitivities for Diffusion Processes in Time Dependent Domains

Cristina Costantini, Emmanuel Gobet, Nicole El Karoui

Applied Mathematics & Optimization · 2006 · 30 citations · 11 references

DOI

Concepts

References

11

Bounds for the fundamental solution of a parabolic equation

D. G. Aronson · Bulletin of the American Mathematical Society · 1967 · 625 citations · Full text

, , +5

Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations

Thomas G. Kurtz, Philip Protter · The Annals of Probability · 1991 · 558 citations · Full text

, , +15

On the pricing of American options

Ioannis Karatzas · Applied Mathematics & Optimization · 1988 · 394 citations

, , +10

Brownian Motion and Martingales in Analysis.

Ruth Williams, Richard Durrett · Journal of the American Statistical Association · 1985 · 381 citations

, , +17

Differentiation with Respect to the Domain in Boundary Value Problems

J. Simon · Numerical Functional Analysis and Optimization · 1980 · 356 citations

, , +9