Sensitivity analysis for the stationary distribution of reflected brownian motion in a convex polyhedral cone
Year of publication: |
2021
|
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Authors: | Lipshutz, David ; Ramanan, Kavita |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 46.2021, 2, p. 524-558
|
Subject: | reflected Brownian motion | stationary distribution | sensitivity analysis | pathwise derivatives | derivative process | Skorokhod reflection problem | derivative problem | asymptotic coupling method | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Sensitivitätsanalyse | Sensitivity analysis | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming |
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