We provide Monte Carlo estimators for the derivatives of functionals of Poisson-driven systems, and apply the theoretical results to models of interest in stochastic geometry and insurance
Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
Torrisi GL
2008
Abstract
We provide Monte Carlo estimators for the derivatives of functionals of Poisson-driven systems, and apply the theoretical results to models of interest in stochastic geometry and insuranceFile in questo prodotto:
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