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Parametrix Methods for One-Dimensional Reflected SDEs

  • Aurélien Alfonsi
  • Masafumi Hayashi
  • Arturo Kohatsu-HigaEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 208)

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.

Keywords

Reflected SDEs Parametrix method Probabilistic representation 

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  • Masafumi Hayashi
    • 2
  • Arturo Kohatsu-Higa
    • 3
    Email author
  1. 1.Université Paris-EstMarne La Vallée, Cedex 2France
  2. 2.University of the RyukyusOkinawaJapan
  3. 3.Ritsumeikan UniversityShigaJapan

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