Computation of sensitivities for the invariant measure of a parameter dependent diffusion (Q1617256): Difference between revisions
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Revision as of 20:54, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of sensitivities for the invariant measure of a parameter dependent diffusion |
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Computation of sensitivities for the invariant measure of a parameter dependent diffusion (English)
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7 November 2018
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stochastic differential equations
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invariant measure
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variance reduction
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Feynman-Kac formulae
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