Derivatives of probability functions and integrals over sets given by inequalities

Uryas'ev, S. (1994). Derivatives of probability functions and integrals over sets given by inequalities. Journal of Computational and Applied Mathematics 56 (1-2) 197-223. 10.1016/0377-0427(94)90388-3.

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Abstract

Probability functions, depending upon their parameters, are reduced to integrals calculated over sets given by many inequalities. A new general formula for the differentiation of such integrals is proposed. A gradient of the integral is represented as the sum of integrals taken over a volume and over a surface. These results are used to

Item Type:	Article
Uncontrolled Keywords:	Probability derivatives; Integral derivatives
Research Programs:	System and Decision Sciences - Core (SDS)
Depositing User:	Romeo Molina
Date Deposited:	18 Apr 2016 12:44
Last Modified:	27 Aug 2021 17:40
URI:	https://pure.iiasa.ac.at/12769

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