Motivated by a problematic coming from mathematical finance, the paper deals with existing and additional results on the continuity and the differentiability of the Itô map associated to rough differential equations. These regularity results together with the Malliavin calculus are applied to the sensitivities analysis of stochastic differential equations driven by multidimensional Gaussian pro...

We show how the benefits of the pathwise sensitivity approach to computing Monte Carlo Greeks can be extended to discontinuous payoff functions through a combination of the pathwise approach and the Likelihood Ratio Method. With a variance reduction modification, this results in an estimator which for timestep h has a variance which is O(h−1/2) for discontinuous payoffs and O(1) for continuous ...

Abstracf—A theoretical foundation is presented for the efficient computation of tirstand second-order sensitivities of networks with respect to network parameters in terms of wave variables. The concept of the adjoint network is used. First-order sensitivity formulas for a wide variety of elements are presented, including lumped and uniformly distributed elements, active and passive elements, a...

In this second part of our work on the sensitivity pentaerythritol tetranitrate (PETN) investigations focus manufacturing process. Literature about explosive during production is very rare and optimization or changes in process demand more in-depth knowledge safety parameters. Therefore, industrial imitated a small-scale laboratory reactor. Then impact friction sensitivities emergency drowned, ...

Much media attention and professional controversy has focused on the approximately 6% of the population who have multiple chemical sensitivity (MCS) (Kreutzer et al., 1999), i.e., severe low-level chemical intolerance (CI), multisystem chronic symptomatology, extreme chemical avoidant behaviors and associated disability. Chemical intolerance involves negative symptoms such as headache, dizzines...