Sensitivity analysis for the stationary distribution of reflected brownian motion in a convex polyhedral cone
David Lipshutz, Kavita Ramanan
| 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
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| Subject: | reflected Brownian motion | stationary distribution | sensitivity analysis | pathwise derivatives | derivative process | Skorokhod reflection problem | derivative problem | asymptotic coupling method | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Sensitivitätsanalyse | Sensitivity analysis | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2020.1076 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012582181