Numerical methods for sensitivity analysis of stochastic differential equations.
Estimation of derivatives with respect to parameters of a functional of a diffusion process moving in the given domain.
Main publications:
S. A. Gusev, Estimation of the coefficients in the parabolic equation by the statistical simulation of diffusion trajectories // Russian Journal of Numerical Analysis and Mathematical Modelling. VSP Publisher, Netherlands. 2003, Vol. 18, No 4, pp. 297–306.
S. A. Gusev, Monte Carlo estimates of the solution of a parabolic equation and its derivatives made by solving stochastic differential equations, Communications in Nonlinear Science and Numerical Simulation, Elsevier Science, Amsterdam, Vol. 9, Issue 2, 2003, pp. 177–185.
S. A. Gusev, Using SDE for solving inverse parabolic boundary value problem with a Neumann boundary condition // Russian Journal of Numerical Analysis and Mathematical Modelling. Vol. 22, No 5, pp. 449–470 (2007).
