Pathwise estimation of probability sensitivities through terminating or steady-state simulations
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Publication:3100473
DOI10.1287/OPRE.1090.0739zbMATH Open1342.62048OpenAlexW2148169654MaRDI QIDQ3100473FDOQ3100473
Authors: L. Jeff Hong, Guangwu Liu 
Publication date: 24 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/c2c52979b22ce8a47a66836135c78ba7c199f4c0
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Cited In (12)
- Improvements in the likelihood ratio method for steady-state sensitivity analysis and simulation
- Simulating risk contributions of credit portfolios
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- A measure-valued differentiation approach to sensitivities of quantiles
- An exact method for the sensitivity analysis of systems simulated by rejection techniques
- Sensitivity analysis of ranked data: from order statistics to quantiles
- Importance sampling for pathwise sensitivity of stochastic chaotic systems
- Estimating sensitivities of portfolio credit risk using Monte Carlo
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