Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone (Q5000645)
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scientific article; zbMATH DE number 7371742
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| English | Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone |
scientific article; zbMATH DE number 7371742 |
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Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone (English)
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15 July 2021
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reflected Brownian motion
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stationary distribution
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sensitivity analysis
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pathwise derivatives
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derivative process
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Skorokhod reflection problem
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derivative problem
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asymptotic coupling method
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0.8087340593338013
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0.7931813597679138
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0.7804656028747559
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0.7720273733139038
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