Gergely Madi-Nagy

Budapest University of Technology & Economics, Hungary

 

Title:

Bounding Expectations of Functions of Random Vectors with Given

Marginals and some Moments: Applications of the Multivariate Discrete Moment Problem

 

Abstract:

The paper shows how the bounding technique provided by the Multivariate Discrete Moment Problem can be used for bounding the expectations of functions of random variables with known univariate marginals and some of the mixed moments. Four examples are presented. In the first example the function is a Monge or related type array, in the second one it is a pseudo Boolean function.  In the further examples bounds are given for values of multivariate generating functions and  expectations of utility functions of random variables.  Numerical results are presented.

 

(Joint work with Andras Prekopa, RUTCOR)