A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains

DOI10.1287/STSY.2019.0031MaRDI QIDQ5113893zbMATH OpenOpenAlexWikidataFDO

Authors David Lipshutz, Kavita Ramanan

Publication date 18 June 2020

Published in Stochastic Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1711.11506

zbMATH Keywords

sensitivity analysisMonte Carlo methodreflected Brownian motionpathwise differentiabilityreflected diffusioninfinitesimal perturbation analysisAtlas modelrank-based interacting diffusionsboundary jitter propertyderivative processderivative map

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(5)

• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains
• A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
• Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
• Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods

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