Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone
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DOI: 10.1287/moor.2020.1076
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References listed on IDEAS
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More about this item
Keywords
Primary: 60G17; 90C31; 93B35; secondary: 60H07; 60H10; 65C30; Primary: Probability: Diffusion; Secondary: Inventory/production: Sensitivity analysis; Queues: Diffusion models; reflected Brownian motion; stationary distribution; sensitivity analysis; pathwise derivatives; derivative process; Skorokhod reflection problem; derivative problem; asymptotic coupling method;All these keywords.
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Statistics
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