Perturbation analysis and Malliavin calculus

• 成果类型: Article
• 署名作者: Decreusefond, L
• 署名单位: IMT - Institut Mines-Telecom; Institut Polytechnique de Paris; Telecom Paris
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1998
• 页码: 496-523
• 关键词: queuing-networks

摘要

Using the Malliavin calculus, we give a unified treatment of the so-called perturbation analysis of dynamic systems. Several applications are also given.