Gergely Madi-Nagy
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)