Derivatives of probability functions and some applications

Derivatives of probability functions and some applications

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Article ID: iaor19952270
Country: Switzerland
Volume: 56
Issue: 1
Start Page Number: 287
End Page Number: 311
Publication Date: Jun 1995
Journal: Annals of Operations Research
Authors:
Abstract:

Probability functions depending upon parameters are represented as integrals over sets given by inequalities. New derivative formulas for the integrals over a volume are considered. Derivatives are presented as sums of integrals over a volume and over a surface. Two examples are discussed: probability functions with linear constraints (random right-hand sides), and a dynamical shut-down problem with sensors.

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