WebOct 14, 2024 · The classical Fréchet bounds determine upper and lower bounds for the distribution function F of a random vector X, when the marginal df’s F i are fixed. As consequence these bounds imply also upper and lower bounds for the expectation E φ (X) of a certain class of functions φ(X).The classical examples are the Hoeffding bounds for … WebFréchet-Hoeffding bounds to bounds on the expectation of /(S). Finally, we apply these results to compute model-free bounds on the prices of multi asset options that take partial information on the dependence structure into account, such as correlations or market prices of other traded derivatives. The
Fréchet Hoeffding bounds for symmetric random variables
WebThe Fréchet bounds of a set of bivariate distributions with fixed marginals are characterized by the monotonicity of their supports. Also they are characterized by their totally positive dependence of order 2 (TP2) and reverse regular of order 2 (RR2) properties. A corollary of these results is the existence of a measurable transformation ... WebOct 27, 2024 · In this paper we consider compound conditionals, Fréchet-Hoeffding bounds and the probabilistic interpretation of Frank t-norms. By studying the solvability of suitable linear systems, we show under logical independence the sharpness of the Fréchet-Hoeffding bounds for the prevision of conjunctions and disjunctions of conditional events. symbolism cuban flag
Chance-Constrained Programming: Classical Probability …
WebJul 14, 2016 · Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset … WebSummary. This paper gives a review of Fréchet-bounds and their applications. In section two an approach to the marginal problem and Fréchet-bounds based on duality theory … WebJan 1, 1991 · Abstract. This paper gives a review of Fréchet-bounds and their applications. In section two an approach to the marginal problem … symbolism cross