Please use this identifier to cite or link to this item: http://hdl.handle.net/10773/35528
Title: Automatic implicit function theorem
Author: Goloubentsev, Dmitri
Lakshtanov, Evgeny
Piterbarg, Vladimir V.
Issue Date: 14-Dec-2021
Publisher: Elsevier
Abstract: Dmitri Goloubentsev, Evgeny Lakshtanov and Vladimir Piterbarg explain in mathematical terms, and demonstrate using a simple example, how the automatic implicit function theorem, a special version of the implicit function theorem, enables fully automated differentiation of exact-fit calibration routines. They show that the automatic implicit function theorem gives an approximate solution to the nearly exact calibration problems typical in practice
Peer review: yes
URI: http://hdl.handle.net/10773/35528
DOI: 10.2139/ssrn.3984964
ISSN: 1556-5068
Appears in Collections:CIDMA - Artigos
OGTCG - Artigos

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