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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

4 votes
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494 views

Functions of correlated random variables

Suppose that $X$ and $Y$ are positive and square-integrable random variables such that $X$ and $Y$ are positively correlated, i.e., $\mathbb{E}[XY] - \mathbb{E}[X]\mathbb{E}[Y] \geq 0$. Let $f: \mathb …
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