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math.PR2021★ 2 cited
Fréchet derivatives of expected functionals of solutions to stochastic differential equations
Han Cheng Lie
In the analysis of stochastic dynamical systems described by stochastic differential equations (SDEs), it is often of interest to analyse the sensitivity of the expected value of a…
math.PR2018
Fréchet differentiable drift dependence of Perron--Frobenius and Koopman operators for non-deterministic dynamics
Péter Koltai, Han Cheng Lie, Martin Plonka
We consider Perron-Frobenius and Koopman operators associated to time-inhomogeneous ordinary stochastic differential equations, and establish their Fréchet differentiability with r…