Computation of sensitivities for the invariant measure of a parameter dependent diffusion

Abstract

We consider the solution to a stochastic differential equation with a drift function which depends smoothly on some real parameter $λ$, and admitting a unique invariant measure for any value of $λ$ around $λ$ = 0. Our aim is to compute the derivative with respect to $λ$ of averages with respect to the invariant measure, at $λ$ = 0. We analyze a numerical method which consists in simulating the process at $λ$ = 0 together with its derivative with respect to $λ$ 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 $λ$ of the mean of an observable through Monte Carlo simulations.