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January 1, 2005Wilmott152 citations

Global sensitivity indices for nonlinear mathematical models. Review

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ISI. M. SobolSKSergei Kucherenko

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Abstract

This is a review of global sensitivity indices that were introduced in I.M. Sobol ' (1990).These indices allow to analyze numerically the structure of a nonlinear function defined analytically or by a "black box".As an example the Brownian bridge is considered and an example of the application of global sensitivity indices in finance is presented.

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Sobol et al. (2005) studied this question.

synapsesocial.com/papers/6a57607c42a60e299e0cea92https://doi.org/10.1002/wilm.42820050114
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