A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains (Q5113893)
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scientific article; zbMATH DE number 7213005
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains |
scientific article; zbMATH DE number 7213005 |
Statements
A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains (English)
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18 June 2020
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reflected diffusion
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reflected Brownian motion
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Monte Carlo method
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sensitivity analysis
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infinitesimal perturbation analysis
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pathwise differentiability
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derivative process
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derivative map
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boundary jitter property
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rank-based interacting diffusions
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Atlas model
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