An upper bound on the expectation of simplicial functions of multivariate random variables
Using a certain moment problem, an upper bound on the expectation of a sublinear function \(\psi(z)\) on \(\mathbb{R}^ n\) is constructed by finding an upper bound on the expectation of a dominating sublinear function \(\phi\) of the type \(\phi(z)=\max\{c^{(i)'} z: 1\leq i\leq n+1\}\), where \(c^{(1)},\dots,c^{(n+1)}\) are affinely independent \(n\)-vectors.
scientific article; zbMATH DE number 68713
scientific article