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20102018
most citedGlobal existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems

3 citations · 3 across the 1 of their papers we have counts for

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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…