Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations

Josselin Garnier, Abdennebi Omrane, Youssef Rouchdy. Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations. European Journal of Operational Research, 198(3):848-858, 2009. [doi]

Authors

Josselin Garnier

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Abdennebi Omrane

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Youssef Rouchdy

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