Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

DOI10.1287/MNSC.41.4.738MaRDI QIDQ4859342zbMATH OpenOpenAlexFDO

Authors Pierre L'Ecuyer

Publication date 1 February 1996

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.4.738

zbMATH Keywords

finite momentsinfinite varianceexamplesderivative estimatorinterchange between derivative and expectationlikelihood ratio derivative estimatorlikelihood ratio gradient estimationunbiased derivative estimator

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Foundations and philosophical topics in statistics (62A01) Queueing theory (aspects of probability theory) (60K25) Sequential statistical methods (62L99) Sufficiency and information (62B99)

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• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
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