Topics in Simulation and Stochastic Analysis
Paper A investigates how to simulate a differentiated mean in cases where interchanging differentiation and expectation is not allowed. Three approaches are available, finite differences (FD's), infinitesimal perturbation analysis (IPA) and the likelihood ratio score function (LRSF) method. We study FD's under discontinuities and show that the optimal decay rate of the mean square error is typical
