solidot新版网站常见问题,请点击这里查看。
消息
本文已被查看3404次
A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains. (arXiv:1711.11506v1 [math.PR])
来源于:arXiv
In this work we develop an effective Monte Carlo method for estimating
sensitivities, or gradients of expectations of sufficiently smooth functionals,
of a reflected diffusion in a convex polyhedral domain with respect to its
defining parameters --- namely, its initial condition, drift and diffusion
coefficients, and directions of reflection. Our method, which falls into the
class of infinitesimal perturbation analysis (IPA) methods, uses a
probabilistic representation for such sensitivities as the expectation of a
functional of the reflected diffusion and its associated derivative process.
The latter process is the unique solution to a constrained linear stochastic
differential equation with jumps whose coefficients, domain and directions of
reflection are modulated by the reflected diffusion. We propose an
asymptotically unbiased estimator for such sensitivities using an Euler
approximation of the reflected diffusion and its associated derivative process.
Proving that the Euler appro 查看全文>>