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gregorygundersen.com | ||
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extremal010101.wordpress.com
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| | | | | Suppose we want to understand under what conditions on $latex B$ we have $latex \begin{aligned} \mathbb{E} B(f(X), g(Y))\leq B(\mathbb{E}f(X), \mathbb{E} g(Y)) \end{aligned}$holds for all test functions, say real valued $latex f,g$, where $latex X, Y$ are some random variables (not necessarily all possible random variables!). If $latex X=Y$, i.e., $latex X$ and $latex Y$ are... | |
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statisticaloddsandends.wordpress.com
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| | | | | In this previous post, we defined Value at Risk (VaR): given a time horizon $latex T$ and a level $latex \alpha$, the VaR of an investment at level $latex \alpha$ over time horizon $latex T$ is a number or percentage X such that Over the time horizon $latex T$, the probability that the loss on... | |
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almostsuremath.com
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| | | | | It is quite common to consider functions of real-time stochastic process which depend on whether or not it crosses a specified barrier level K. This can involve computing expectations involving a real-valued process X of the form $latex \displaystyle V={\mathbb E}\left[f(X_T);\;\sup{}_{t\le T}X_t \ge K\right] &fg=000000$ (1) for a positive time T and function f:????. I... | |
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mc-stan.org
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