2 papers
stat.ME2026
Conditional Leibniz Derivative Estimation with an Application to American Call Min-Options
Xingyu Ren, Michael C. Fu, Pierre L'Ecuyer
Leibniz derivative estimation is a Monte Carlo technique for estimating derivatives of a discontinuous sample performance in stochastic models with respect to parameters of interes…
stat.ME2025
Stochastic Derivative Estimation for Discontinuous Sample Performances: A Leibniz Integration Perspective
Xingyu Ren, Michael C. Fu, Pierre L'Ecuyer
We develop a novel stochastic derivative estimation framework for sample performance functions that are discontinuous in the parameter of interest, based on the multidimensional Le…