Monte Carlo Methods for Sensitivity Analysis of Poisson-driven Stochastic Systems, and Applica- Tions
نویسندگان
چکیده
We extend a result due to Zazanis [34] on the analyticity of the expectation of suitable functionals of homogeneous Poisson processes, with respect to the intensity of the process. As our main result, we provide Monte Carlo estimators for the derivatives. We apply our results to stochastic models which are of interest in stochastic geometry and insurance.
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تاریخ انتشار 2008