A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
Published Online:14 Jun 2019https://doi.org/10.1287/stsy.2019.0031
- Cited by
- 3 February 2021 | Mathematics of Operations Research, Vol. 46, No. 2
- Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, Vol. 55, No. 3
Volume 9, Issue 2
June 2019
Pages 83-181
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- Received:December 03, 2017
- Accepted:February 25, 2019
- Published Online:June 14, 2019
Copyright © 2019, The Author(s)
Cite as
David Lipshutz, Kavita Ramanan (2019) A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains. Stochastic Systems 9(2):101-140.
https://doi.org/10.1287/stsy.2019.0031
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