Dear all, 

Please join us for the last seminar talk of the semester. Details below. 

See you, 

Iddo. 

Title: Pathwise differentiability of semimartingale reflected Brownian motion in a 
simple convex polyhedron
Speaker: David Lipshutz (Brown) 
Time: Friday, December 5, 2014 at 3:30 pm
Place: MSB 109A
Abstract: We discuss the pathwise differentiability of semimartingale obliquely 
reflected Brownian motions (SRBMs) with state dependent drifts in simple convex 
polyhedra. In particular, we consider derivatives with respect to input parameters 
that determine the initial condition and the drift of the SRBMs. We characterize 
these derivatives as solutions to time-dependent Skorokhod type problems 
associated with the SRBMs. Using these results, we characterize derivatives of 
stochastic flows for SRBMs and obtain a Bismut-Elworthy type formula. As a 
second application, we obtain results on the sensitivity of SRBMs to small 
perturbations of the drift function. This is joint work with Kavita Ramaman.