Abstract
In the previous chapter, we strove to make our framework as general as possible by including the two principal types of parameters of interest — timing and structural — and by conditioning on varying degrees of sample path information. In this chapter, we link our framework to the results of various other PA settings — rare perturbation analysis (RPA), discontinuous perturbation analysis (DPA), and augmented infinitesimal perturbation analysis (APA) — and to estimators derived via the likelihood ratio (LR) method and the weak derivative (WD) approach.
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© 1997 Springer Science+Business Media New York
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Fu, M., Hu, JQ. (1997). Links to Other Settings. In: Conditional Monte Carlo. The Springer International Series in Engineering and Computer Science, vol 392. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-6293-1_4
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DOI: https://doi.org/10.1007/978-1-4615-6293-1_4
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7889-1
Online ISBN: 978-1-4615-6293-1
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