Corpus ID: 235458489

Fr\'{e}chet derivatives of expected functionals of solutions to stochastic differential equations

@inproceedings{Lie2021FrechetDO,
  title={Fr\'\{e\}chet derivatives of expected functionals of solutions to stochastic differential equations},
  author={H. Lie},
  year={2021}
}
  • H. Lie
  • Published 2021
  • Mathematics, Computer Science
In the analysis of stochastic dynamical systems described by stochastic differential equations (SDEs), it is often of interest to analyse the sensitivity of the expected value of a functional of the solution of the SDE with respect to perturbations in the SDE parameters. In this paper, we consider path functionals that depend on the solution of the SDE up to a stopping time. We derive formulas for Fréchet derivatives of the expected values of these functionals with respect to bounded… Expand

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