Computation of sensitivities for the invariant measure of a parameter dependent diffusion

DOI10.1007/s40072-017-0105-6zbMath1401.37087arXiv1509.01348OpenAlexW2963146834MaRDI QIDQ1617256

Tony Lelièvre, Benjamin Jourdain, Roland Assaraf, Raphaël Roux

Publication date: 7 November 2018

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.01348

zbMATH Keywords

stochastic differential equationsinvariant measurevariance reductionFeynman-Kac formulae

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Schrödinger and Feynman-Kac semigroups (47D08) Infinite-dimensional random dynamical systems; stochastic equations (37L55) Fokker-Planck equations (35Q84)

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