BOUNDS ON THE EXPECTATION OF A CONVEX FUNCTION OF A RANDOM VARIABLE,
Abstract
Suppose that f is a convex function defined on the interval I = (a, b) where b>a. Let X be a random variable defined on I whose expectation E(X) is finite. Upper and lower bounds for the expectation E(f(X)) are derived using the theory of moment spaces. The lower bound obtained agrees with that of classical analysis, while the upper bound is believed to be a new result. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 09, 1957
- Accession Number
- AD0605117
Entities
People
- H. P. Edmundson
Organizations
- RAND Corporation