Perturbation analysis and Malliavin calculus

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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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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• Factorial moment espansion for stochastic systems
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• Perturbation analysis and optimization of queueing networks
• The Malliavin calculus for pure jump processes and applications to local time
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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 (9)

• 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
• Mini-workshop: Stochastic analysis for Poisson point processes: Malliavin calculus, Wiener-Itô chaos expansions and stochastic geometry. Abstracts from the workshop held February 10--16, 2013.
• Efficient and superefficient estimators of filtered Poisson process intensities

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