A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
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Publication:5113893
DOI10.1287/stsy.2019.0031OpenAlexW2964195911WikidataQ127669687 ScholiaQ127669687MaRDI QIDQ5113893
Kavita Ramanan, David Lipshutz
Publication date: 18 June 2020
Published in: Stochastic Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.11506
sensitivity analysisMonte Carlo methodinfinitesimal perturbation analysisreflected Brownian motionpathwise differentiabilityreflected diffusionAtlas modelrank-based interacting diffusionsboundary jitter propertyderivative processderivative map
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)
Related Items
Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains
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