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AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
Published online by Cambridge University Press: 05 January 2021
Abstract
This paper establishes a new version of integration by parts formula of Markov chains for sensitivity computation, under much lower restrictions than the existing researches. Our approach is more fundamental and applicable without using Girsanov theorem or Malliavin calculus as did by past papers. Numerically, we apply this formula to compute sensitivity regarding the transition rate matrix and compare with a recent research by an IPA (infinitesimal perturbation analysis) method and other approaches.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 36 , Issue 2 , April 2022 , pp. 357 - 377
- Copyright
- Copyright © The Author(s), 2020. Published by Cambridge University Press