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math.PR2026
Sensitivity analysis of Stochastic Fluid Models: Stationary and transient quantities with applications
Anna Aksamit, Małgorzata M. O'Reilly, Zbigniew Palmowski
We establish results for the first sensitivity analysis of the stochastic fluid models (SFMs). We derive expressions for the sensitivity analysis of the key stationary and transien…
math.PR2026
Entropy and additional utility of a discrete information disclosed progressively in time
Anna Aksamit
The additional information carried by an enlarged filtration and its measurement was studied by several authors. Already Meyer (Sur un theoreme de J. Jacod, 1978) and Yor (Entropie…