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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.