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Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
2008
Advances in Applied Probability
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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.
doi:10.1017/s0001867800002536
fatcat:oecrxnv3rzeqtmirxedndbm7y4