diff --git a/Probability/MDP/Risk.lean b/Probability/MDP/Risk.lean index e50ef37..a831b6b 100644 --- a/Probability/MDP/Risk.lean +++ b/Probability/MDP/Risk.lean @@ -84,4 +84,13 @@ notation "CVaR[" α "," X "//" P "]" => CVaR P X α -- CVaR ≥ VaR: CVaR[α, X // P] ≥ VaR[α, X // P] + +theorem VaR_monotone_in_alpha + (P : Findist n) (X : FinRV n ℚ) + {α₁ α₂ : ℚ} (h0 : 0 ≤ α₁) (h12 : α₁ ≤ α₂) (h1 : α₂ ≤ 1) : VaR P X α₁ ≤ VaR P X α₂ := + by + simp [VaR] + sorry + + end Risk