Distribution of the product of two random variables

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Publications associées (29)

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Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...

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Chebyshev Inequalities for Products of Random Variables

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We derive sharp probability bounds on the tails of a product of symmetric non-negative random variables using only information about their first two moments. If the covariance matrix of the random variables is known exactly, these bounds can be computed nu ...

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A Posteriori Error Estimation for the Stochastic Collocation Finite Element Method

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Wasserstein Distributionally Robust Kalman Filtering

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The present invention is notably directed to a computer-implemented method for image reconstruction. The method comprises: accessing elements that respectively correspond to measurement values, which can be respectively mapped to measurement nodes; and per ...

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A posteriori error estimation for the steady Navier-Stokes equations in random domains

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We consider finite element error approximations of the steady incompressible Navier-Stokes equations defined on a randomly perturbed domain, the perturbation being small. Introducing a random mapping, these equations are transformed into PDEs on a fixed re ...

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Dimensionality Reduction in Dynamic Optimization under Uncertainty

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Dynamic optimization problems affected by uncertainty are ubiquitous in many application domains. Decision makers typically model the uncertainty through random variables governed by a probability distribution. If the distribution is precisely known, then ...

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We consider the dynamics of swarms of scalar Brownian agents subject to local imitation mechanisms implemented using mutual rank-based interactions. For appropriate values of the underlying control parameters, the swarm propagates tightly and the distances ...

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