Derivative Preserving Conditions in Conditional Expectation Operator

2024/06/26 by Battulga Gankhuu, Gankhuu, Battulga
Computer Science · Engineering · #Advanced Control Systems Optimization #FOS: Mathematics #Matrix Theory and Algorithms #Probability (math.PR) #Stability and Control of Uncertain Systems

paper · pdf · doi:10.48550/arxiv.2406.18180

openalex publication_date 2024/06/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduces higher order derivatives of the Expected Shortfall for a generic nonlinear portfolio loss random variable.

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