Question

Prove that if X 20, Y 2 0 and 0 p1, then E(X +Y)] Show that for any real numbers x > 0 and y > 0, E(X)E(YP). HINT: Here is how you can show the above formula holds. Start off by letting 0y. Use the fact that the function g(z) - z is concave-down (i.e., spills water) on (0, oo) and is thus bounded above by its tangent line at any particular point. Find the tanget line at the point z = y. This tangent line will be an upper bound for g(z), so write out the resulting inequality. Then let z+y.

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Answer #1

Given . So

First find the tangent line to the curve . Take the derivative,

The equation of tangent at is

Since , is concave down, the tangent is upper bound for . Thus we have

Let , then since and we have   and set

The above inequality becomes,

For  , we can write,

Take expectations on both sides,

The proof is complete.

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