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Uncertainty quantification for generalized Langevin dynamics
16 references·0 citing·38 second hop
Uncertainty quantification for generalized Langevin dynamics (2016)Uncertainty quantification for generalize…Malliavin Greeks without Malliavin calculus (2007)Malliavin Greeks without Mall…Global Sensitivity Analysis. The Primer (2007)Global Sensitivity Analysis. …An effective screening design for sensitivity analysis of large models (2007)An effective screening design…On the Malliavin approach to Monte Carlo approximation of conditional expectations (2004)On the Malliavin approach to …Stochastic Differential Equations (2003)Stochastic Differential Equat…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Sensitivity Anaysis as an Ingredient of Modeling (2000)Sensitivity Anaysis as an Ing…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…On the Convergence Rates of IPA and FDC Derivative Estimators (1994)On the Convergence Rates of I…Some Guidelines and Guarantees for Common Random Numbers (1992)Some Guidelines and Guarantee…Factorial Sampling Plans for Preliminary Computational Experiments (1991)Factorial Sampling Plans for …Likelihood ratio gradient estimation for stochastic systems (1990)Likelihood ratio gradient est…Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)Design and Analysis of Computer Experiments (1989)Verification, Validation, and Confirmation of Numerical Models in the Earth Sciences (1994)Sensitivity Analysis for Chemical Models (2005)Uncertainty and Sensitivity Analysis Techniques as Tools for the Quality Assessment of Composite Indicators (2005)The Future of Sensitivity Analysis: An essential discipline for systems modeling and policy support (2020)A Quantitative Model-Independent Method for Global Sensitivity Analysis of Model Output (1999)How to avoid a perfunctory sensitivity analysis (2010)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)THE DESIGN OF OPTIMUM MULTIFACTORIAL EXPERIMENTS (1946)On the Experimental Attainment of Optimum Conditions (1951)Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (1979)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index (2009)Sensitivity analysis of environmental models: A systematic review with practical workflow (2016)SALib: An open-source Python library for Sensitivity Analysis (2017)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Differential equations driven by Gaussian signals (2010)The Master Equation for Large Population Equilibriums (2014)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)Stochastic Calculus with Respect to Gaussian Processes (2001)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

  • 2007Global Sensitivity Analysis. The Primer6,425 cited
  • 1991Factorial Sampling Plans for Preliminary Computational Experiments4,936 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2003Stochastic Differential Equations2,090 cited
  • 2007An effective screening design for sensitivity analysis of large models2,024 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 2000Sensitivity Anaysis as an Ingredient of Modeling607 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1997THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)525 cited
  • 1990Likelihood ratio gradient estimation for stochastic systems381 cited
  • 1992Some Guidelines and Guarantees for Common Random Numbers185 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 1994On the Convergence Rates of IPA and FDC Derivative Estimators100 cited
  • 2004On the Malliavin approach to Monte Carlo approximation of conditional expectations81 cited

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2007
Malliavin Greeks without Malliavin calculus
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