
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:

20120312
(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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