Gradient estimation for smooth stopping criteria

DOI10.1017/apr.2022.7OpenAlexW4282938697MaRDI QIDQ6043458

Yijie Peng, Bernd F. Heidergott

Publication date: 5 May 2023

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2022.7

zbMATH Keywords

sensitivity analysisMonte Carlo simulationgradient estimation

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Abstract differentiation theory, differentiation of set functions (28A15)

Cites Work

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