Skip to Main content Skip to Navigation
Reports

Asymptotic expansions for functionals processes

Abstract : The article provides the direct approach to obtaining formulas for derivatives of functionals of point processes in rare perturbation analysis . Results are obtained for arbitrary (not necessarily stationary) point processes in $R$ and $R^d,\ d\geq 2$, under transparent conditions, close to minimal. Formulas for higher order derivatives allow to construct asymptotical expansions. The results can be useful in sensitivity analysis, in light traffic theory for queues and for computation by simulation of derivatives at positive intensity while the computation of the derivatives via statistical estimation of the functional itself and its increments usually gives poor results.
Document type :
Reports
Complete list of metadata

https://hal.inria.fr/inria-00074434
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 3:17:35 PM
Last modification on : Saturday, January 27, 2018 - 1:31:23 AM
Long-term archiving on: : Sunday, April 4, 2010 - 10:17:26 PM

Identifiers

  • HAL Id : inria-00074434, version 1

Collections

Citation

Alexander A. Borovkov. Asymptotic expansions for functionals processes. [Research Report] RR-2236, INRIA. 1994. ⟨inria-00074434⟩

Share

Metrics

Record views

101

Files downloads

328