Perturbation analysis and Malliavin calculus
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Publication:1296743
DOI10.1214/AOAP/1028903536zbMATH Open0952.60050OpenAlexW1965672316MaRDI QIDQ1296743FDOQ1296743
Authors: 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
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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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- 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
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- Sensitivity Analysis for Simulations via Likelihood Ratios
- Chaotic representation for finite markov chains
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- 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)
- 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
- A Markov model for the spread of viruses in an open population
- Efficient and superefficient estimators of filtered Poisson process intensities
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