3 citations · 3 across the 1 of their papers we have counts for
3 papers
q-fin.CP2018
Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions)
Christian P. Fries
In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a stoc…
q-fin.CP2017
Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
Christian P. Fries
In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example…
math.AP2010★ 3 cited
Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems
Christian Fries, Joerg Kampen
In this paper we establish a constructive method in order to show global existence and regularity for a class of degenerate parabolic Cauchy problems which satisfy a weak Hoermande…