A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains (Q5113893)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains |
scientific article; zbMATH DE number 7213005
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
18 June 2020
0 references
reflected diffusion
0 references
reflected Brownian motion
0 references
Monte Carlo method
0 references
sensitivity analysis
0 references
infinitesimal perturbation analysis
0 references
pathwise differentiability
0 references
derivative process
0 references
derivative map
0 references
boundary jitter property
0 references
rank-based interacting diffusions
0 references
Atlas model
0 references
0 references
0 references
0 references
0 references
