機率研討會

主講者: | Professor Brice Franke (Université de Bretagne Occidentale ) |

講題: | On the worst case value at risk for a joint law with known marginals and covariance |

時間: | 2012-03-12 (Mon.) 14:10 - |

地點: | 數學所 722 研討室 (台大院區) |

Abstract: | The probability for $ X+Y $ to be larger than a certain value $ \gamma $ depends on the joint law of $ X $ and $ Y $. In case the marginal distributions of $ X $ and $ Y $ are known, one can use a duality theorem to find minimizers of the probability of $ X+Y $ being larger than $ \gamma $. In this talk we want to study the case when some additional information on the covariance is available. |

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