As stated in the title, I am looking for the solution to this expectation, possibly as a function of $\rho$. One relevant solution I find is Lord Shark the Unknown's answer, from which I can derive $E(max(X, Y)) = \frac{1}{2}E(|V|)$. But I am not sure what to do next. Any suggestions?
2026-03-25 12:50:10.1774443010
Expectation of max(X, Y) where X and Y follow a joint normal distribution with correlation of $\rho$
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