Suppose that $(A,B)$ have a standard Gaussian distribution on $\mathbb{R}^2$.
How do I find the expected value for $\mathbb{E}[max(3.9A+B,A+3.9B)]$?
I know that A and B follow the standard normal distribution with mean $0$ and variance $1$. But how do I get the expected value from this?
Thank you!