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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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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