Integration by parts formula for locally smooth laws and applications to sensitivity computations

Vlad Bally, Marie-Pierre Bavouzet, Marouen Messaoud

We consider random variables of the form $F=f(V_1,...,V_n)$, where $f$ is a smooth function and $V_i,i\in \mathbb{N}$, are random variables with absolutely continuous law $p_i(y) dy…