Abstract:This paper is concerned with the integration by parts formulae for the pinned or the standard Wiener measures restricted on a space of paths staying between two curves. The boundary measures, concentrated on the set of paths touching one of the curves once, are specified. Our approach is based on the polygonal approximations. In particular, to establish the convergence of boundary terms, a uniform estimate is derived by means of comparison argument for a sequence of random walks conditioned to stay between two… Show more
“…Recently in [4], a generalization of Zambotti's result has been obtained in the case where (1-dimensional) Wiener measures are restricted to a space of paths staying between two curves. Their method is based on polygonal approximations of Brownian motions.…”
We study an integration by parts formula for a pinned Wiener measure restricted to a space of paths staying within a subset in R d . The result presented here generalizes the formula in [L. Zambotti, Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection, Probab. Theory Relat. Fields 123 (2002) 579-600] for the case of a half-line in R.
“…Recently in [4], a generalization of Zambotti's result has been obtained in the case where (1-dimensional) Wiener measures are restricted to a space of paths staying between two curves. Their method is based on polygonal approximations of Brownian motions.…”
We study an integration by parts formula for a pinned Wiener measure restricted to a space of paths staying within a subset in R d . The result presented here generalizes the formula in [L. Zambotti, Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection, Probab. Theory Relat. Fields 123 (2002) 579-600] for the case of a half-line in R.
“…We borrow some notations from [7]. For a, b ∈ R and T > 0, let P a,b be the (one-dimensional) pinned Wiener measure on C ≡ C([0, T ]) such that w(0) = a and w(T ) = b.…”
Section: Case With Two Pinned Edgesmentioning
confidence: 99%
“…on each path space are defined for (a, b) ∈ A r1,r2 (g − , g + ) for (a, b) ∈ A r1,r2 ± (g), respectively, in the usual way, and then these definitions can be naturally extended to (a, b) at the boundaries of these sets (see [7,Section 2]).…”
This paper presents a new methodology to compute first-order Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rules for Wiener path integrals between two curves that arise in the computation of first-order Greeks for barrier options. We also illustrate the effectiveness of our method through numerical examples.
“…In analogy with the finite dimensional example of the next subsection, if K = H then h is expected to contain an infinite dimensional boundary term: this has been explicitly computed in several recent papers, for instance [17], [3], [14], [10]. If U is, as in (1.4) x ≥ −α} with α ≥ 0.…”
Section: Necessarily T → E −V(t) Is Non-decreasing On a Half-line (−∞mentioning
We consider stochastic differential equations in a Hilbert space, perturbed by the gradient of a convex potential. We investigate the problem of convergence of a sequence of such processes. We propose applications of this method to reflecting O.U. processes in infinite dimension, to stochastic partial differential equations with reflection of Cahn-Hilliard type and to interface models.
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