Seminar in Financial Mathematics & Probability

Andras Prekopa Rutgers Center for Operations Research Rutgers University Discrete moment problems and their applications Monday, February 26, 2001 3:15pm Pierce 116

Abstract:   Discrete moment problems (DMP) came to prominence by the discovery that a class of sharp probability bounds (also called sharp Bonferroni bounds) are optimum values of moment problems, where the support of the random variable involved is a known discrete set. Problems of this kind arose in a natural way in connection with the inclusion-exclusion formula, where the terms are binomial moments of the number of occurrencies of the random events involved. In many applications only a few such terms can be computed, hence the interest turned to the creation of sharp bounds for the probability of the union, based on the first few terms in the formula. First we give a brief overview of the results obtained during the past few years in connection with univariate, multivariate, binomial, power and more general discrete moment problems, largely developed by the speaker and his co-authors. After that we present more recent results, including applications in approximation theory and reliability calculation.

Coffee and refreshments will be available starting at 3:00pm. For additional information contact Khaldoun Khashanah  or Darinka Dentcheva.