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A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains - MaRDI portal

A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains (Q6294650)

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scientific article; zbMATH DE number 7213005
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English
A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains
scientific article; zbMATH DE number 7213005

    Statements

    publication date
    30 November 2017
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    arXiv classification
    math.PR
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    author
    David Lipshutz
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    Kavita Ramanan
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    Identifiers

    arXiv ID
    1711.11506
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    Mathematics Subject Classification ID
    65C05
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    60H10
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    60J65
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    zbMATH DE Number
    7213005
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    Wikidata QID
    Q127669687
    0 references
     
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