There are 2 Random Variables X and Y.
X ~ N(a,b) and Y ~ N(c,d). X and Y are correlated with a correlation coefficient of p.
How do I find a closed form solution of E[MAX(X,Y)]?
Whichever way I look at it, I am not able to get rid of the randomness in the solution.
My sol:- E[MAX(X,Y)] = X* P(X>Y) + Y*P(Y>X)
But if I do this I will get an answer in terms of X and Y which are still Random.