A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
DOI10.1287/STSY.2019.0031OpenAlexW2964195911WikidataQ127669687 ScholiaQ127669687MaRDI QIDQ5113893FDOQ5113893
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 methodreflected Brownian motionpathwise differentiabilityreflected diffusioninfinitesimal perturbation analysisAtlas modelrank-based interacting diffusionsboundary jitter propertyderivative processderivative map
Monte Carlo methods (65C05) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (4)
- Pathwise differentiability of reflected diffusions in convex polyhedral domains
- Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone
- A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
- Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
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