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Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
Published online by Cambridge University Press: 01 July 2016
Abstract
We extend a result due to Zazanis (1992) on the analyticity of the expectation of suitable functionals of homogeneous Poisson processes with respect to the intensity of the process. As our main result, we provide Monte Carlo estimators for the derivatives. We apply our results to stochastic models which are of interest in stochastic geometry and insurance.
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- Stochastic Geometry and Statistical Applications
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- Copyright © Applied Probability Trust 2008
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