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Concept

Regular conditional probability

Related publications (6)

Distributionally Robust Optimization with Polynomial Densities: Theory, Models and Algorithms

Daniel Kuhn

In distributionally robust optimization the probability distribution of the uncertain problem parameters is itself uncertain, and a fictitious adversary, e.g., nature, chooses the worst distribution from within a known ambiguity set. A common shortcoming o ...

2020

Pattern-wise trust assessment of sensor data

Karl Aberer, Mehdi Riahi, Robert Gwadera

One of the most important tasks of a sensor network (SN) is to detect occurrences of interesting events in the monitored environment. However, data measured by SN is often affected by errors. We investigate the problem of assessing trustworthiness (trust) ...

2014

A bottom-up stochastic model to predict building occupants' time-dependent activities

Jean-Louis Scartezzini, Darren Robinson, Frédéric Haldi, Urs Wilke

A bottom-up modelling approach together with a set of calibration methodologies is presented to predict residential building occupants' time-dependent activities, for use in dynamic building simulations. The stochastic model to predict activity chains is c ...

Elsevier2013

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

Conditional probabilities in the excursion set theory: generic barriers and non-Gaussian initial conditions

Andrea De Simone

The excursion set theory, where density perturbations evolve stochastically with the smoothing scale, provides a method for computing the dark matter halo mass function. The computation of the mass function is mapped into the so-called first-passage time p ...

Blackwell Publishing Ltd, Oxford2011

Closed-form solutions to stochastic switching problems

Erwan Morellec

This paper studies the price of an asset depending on both a fundamental and possible interventions of an authority. Using the martingale approach in continuous time, we provide closed-form solutions to switching problems involving irreversible, state depe ...

2008