Chebyshev inequalities and comonotonicity (Q1322640)
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English | Chebyshev inequalities and comonotonicity |
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Chebyshev inequalities and comonotonicity (English)
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21 November 1994
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Two functions \(f\) and \(g\) on a set \(\Omega\) are comonotonic if \(f(x) > f(y)\) and \(g(y) > g(x)\) is impossible for any \(\{x,y\} \subset \Omega\). The author proves that, given a measurable space \((\Omega,\Sigma)\), two \(\Sigma\)-measurable real functions \(f\) and \(g\) on \(\Omega\) satisfy \(\int fdP \int gdP \leq \int fgdP\) for all countably additive probabilities \(P\) if and only if they are comonotonic.
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Chebyshev inequalities
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positive correlation
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comonotonicity
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