Measure-valued differentiation for random horizon problems

MaRDI QIDQ3421899zbMATH OpenFDO

Authors Felisa J. Vázquez-Abad, Bernd Heidergott

Publication date 8 February 2007

zbMATH Keywords

gradient estimationMarkov chainsoptimizationweak derivatives

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Sensitivity, stability, parametric optimization (90C31)

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• Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
• Gradient estimation for smooth stopping criteria
• IPA for stationary problems
• Stochastic inequalities for M/G/1 retrial queues with vacations and constant retrial policy

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