Perturbation analysis and Malliavin calculus

DOI10.1214/AOAP/1028903536zbMATH Open0952.60050OpenAlexW1965672316MaRDI QIDQ1296743FDOQ1296743

Laurent Decreusefond

Publication date: 1 March 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903536

zbMATH Keywords

Malliavin calculussensitivity analysis

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Calcul des variations stochastique et processus de sauts
• Chaotic and variational calculus in discrete and continuous time for the poisson process
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• On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• Factorial moment espansion for stochastic systems
• Infinitesimal and finite perturbation analysis for queueing networks
• Perturbation analysis and optimization of queueing networks
• The Malliavin calculus for pure jump processes and applications to local time
• Gamma-type results and other related properties of Poisson processes
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Chaotic representation for finite markov chains
• Title not available (Why is that?)
• Maximal coupling and rare perturbation sensitivity analysis
• Light traffic derivatives via likelihood ratios
• On behaviour of automata in labyrinths
• Perturbation analysis of functionals of random measures

Cited In (8)

• A Markov Model for the Spread of Viruses in an Open Population
• Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion
• Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
• Local Malliavin calculus for Lévy processes and applications
• New results on delay-dependent stability analysis and stabilization for stochastic time-delay systems
• Perturbation analysis of Poisson processes
• Variational analysis of functionals of Poisson processes
• Efficient and superefficient estimators of filtered Poisson process intensities

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