# Boundary Sensitivities for Diffusion Processes in Time Dependent Domains

Boundary Sensitivities for Diffusion Processes in Time Dependent Domains We study the sensitivity, with respect to a time dependent domain ${\cal D}_s,$ of expectations of functionals of a diffusion process stopped at the exit from ${\cal D}_s$ or normally reflected at the boundary of ${\cal D}_s.$ We establish a differentiability result and give an explicit expression for the gradient that allows the gradient to be computed by Monte Carlo methods. Applications to optimal stopping problems and pricing of American options, to singular stochastic control and others are discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

# Boundary Sensitivities for Diffusion Processes in Time Dependent Domains

, Volume 54 (2) – Sep 1, 2006
29 pages

/lp/springer_journal/boundary-sensitivities-for-diffusion-processes-in-time-dependent-aVgpuHRYtg
Publisher
Springer-Verlag
Subject
Mathematics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization; Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Methods
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-006-0863-4
Publisher site
See Article on Publisher Site

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