Variations on the Expectation Due to Changes in the Probability Measure
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Abstract
In this paper, closed-form expressions for the variation of the expectation of a given function due to changes in the probability measure (probability distribution drifts) are presented. They unveil interesting connections with Gibbs probability measures, mutual information, and lautum information.
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- europepmc
- last seen: 2026-05-20T01:45:00.602351+00:00