Evaluating model reduction under parameter uncertainty

Robustness under Real Parameter Uncertainty

Option pricing under model and parameter uncertainty using predictive densities

The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the value of the underlying instrument at expiry time. This density depends on both the parametric model assumed for the behaviour of the underlying, and the values of parameters within the model, such as volatility. However ...

Interval Technique for Parameter Estimation under Model Uncertainty

This paper is devoted to the problem of estimation of parameters for linear multioutput models with uncertain regressors and additive noise. The uncertainty is assumed to be described by intervals. Outer-bounding interval approximations of the non-convex feasible parameter set for uncertain system are obtained. The proposed method is based on the calculation of the interval solution for an inte...

U-Check: Model Checking and Parameter Synthesis Under Uncertainty

Novel applications of formal modelling such as systems biology have highlighted the need to extend formal analysis techniques to domains with pervasive parametric uncertainty. Consequently, machine learning methods for parameter synthesis and uncertainty quantification are playing an increasingly significant role in quantitative formal modelling. In this paper, we introduce a toolbox for parame...

Dynamic Incentive Contracts under Parameter Uncertainty

Dynamic Incentive Contracts under Parameter Uncertainty We analyze a long-term contracting problem involving common uncertainty about a parameter capturing the productivity of the relationship, and featuring a hidden action for the agent. We develop an approach that works for any utility function when the parameter and noise are normally distributed and when the effort and noise affect output a...