Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations

DOI10.1287/opre.1090.0739zbMath1342.62048OpenAlexW2148169654MaRDI QIDQ3100473

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

zbMATH Keywords

probability functionperturbation analysisstochastic simulationgradient estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

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