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math.PR2017
A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains
David Lipshutz, Kavita Ramanan
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a…
math.PR2017
Exit time asymptotics for small noise stochastic delay differential equations
David Lipshutz
Dynamical system models with delayed dynamics and small noise arise in a variety of applications in science and engineering. In many applications, stable equilibrium or periodic be…
math.PR2017
Pathwise differentiability of reflected diffusions in convex polyhedral domains
David Lipshutz, Kavita Ramanan
Reflected diffusions in convex polyhedral domains arise in a variety of applications, including interacting particle systems, queueing networks, biochemical reaction networks and m…