Derivatives of probability functions and some applications

DOI10.1007/BF02031712zbMath0824.60015MaRDI QIDQ1896458

Stanislav P. Uryasev

Publication date: 27 August 1995

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

optimization; inequalities; sensitivity analysis; discrete event dynamic systems; probabilistic risk analysis

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60E99: Distribution theory

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Cites Work

• Augmented infinitesimal perturbation analysis: An alternate explanation
• Sensitivity analysis of discrete event systems by the push out method
• stochastic quasigradient methods and their application to system optimization^†
• A differentiation formula for integrals overseas given by inclusion
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