Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Computation of sensitivities for the invariant measure of a parameter
  dependent diffusion   We consider the solution to a stochastic differential equation with a drift
function which depends smoothly on some real parameter $\lambda$, and admitting
a unique invariant measure for any value of $\lambda$ around $\lambda$ = 0. Our
aim is to compute the derivative with respect to $\lambda$ of averages with
respect to the invariant measure, at $\lambda$ = 0. We analyze a numerical
method which consists in simulating the process at $\lambda$ = 0 together with
its derivative with respect to $\lambda$ on long time horizon. We give
sufficient conditions implying uniform-in-time square integrability of this
derivative. This allows in particular to compute efficiently the derivative
with respect to $\lambda$ of the mean of an observable through Monte Carlo
simulations.

23
The categories of this paper are: solv-int
18
The categories of this paper are: econ
15
The categories of this paper are: nucl-ex
1
The categories of this paper are: cs
22
The categories of this paper are: chao-dyn
7
The categories of this paper are: hep-th
17
The categories of this paper are: q-fin
34
The categories of this paper are: chem-ph
29
The categories of this paper are: funct-an
16
The categories of this paper are: stat
24
The categories of this paper are: dg-ga
20
The categories of this paper are: acc-phys
10
The categories of this paper are: q-bio
19
The categories of this paper are: eess
31
The categories of this paper are: ao-sci
28
The categories of this paper are: alg-geom