Second Order Discretization of Bismut-Elworthy-Li Formula: Application to Sensitivity Analysis

Toshihiro Yamada, Kenta Yamamoto. Second Order Discretization of Bismut-Elworthy-Li Formula: Application to Sensitivity Analysis. SIAM/ASA J. Uncertain. Quantification, 7(1):143-173, 2019. [doi]

Abstract

Abstract is missing.