This action might not be possible to undo. Are you sure you want to continue?

BooksAudiobooksComicsSheet Music### Categories

### Categories

### Categories

### Publishers

Scribd Selects Books

Hand-picked favorites from

our editors

our editors

Scribd Selects Audiobooks

Hand-picked favorites from

our editors

our editors

Scribd Selects Comics

Hand-picked favorites from

our editors

our editors

Scribd Selects Sheet Music

Hand-picked favorites from

our editors

our editors

Top Books

What's trending, bestsellers,

award-winners & more

award-winners & more

Top Audiobooks

What's trending, bestsellers,

award-winners & more

award-winners & more

Top Comics

What's trending, bestsellers,

award-winners & more

award-winners & more

Top Sheet Music

What's trending, bestsellers,

award-winners & more

award-winners & more

P. 1

math |Views: 4|Likes: 0

Published by Sudhir Kumar

jensen3

jensen3

See more

See less

https://www.scribd.com/doc/123484926/math

06/19/2015

text

original

1

8. Jensen inequality

¯ Deﬁnition 64 Let a, b ∈ R, with a < b. Let φ : ]a, b[→ R be an R-valued function. We say that φ is a convex function, if and only if, for all x, y ∈]a, b[ and t ∈ [0, 1], we have: φ(tx + (1 − t)y) ≤ tφ(x) + (1 − t)φ(y) ¯ Exercise 1. Let a, b ∈ R, with a < b. Let φ : ]a, b[→ R be a map. 1. Show that φ : ]a, b[→ R is convex, if and only if for all x1 , . . . , xn in ]a, b[ and α1 , . . . , αn in R+ with α1 + . . . + αn = 1, n ≥ 1, we have: φ(α1 x1 + . . . + αn xn ) ≤ α1 φ(x1 ) + . . . αn φ(xn ) 2. Show that φ : ]a, b[→ R is convex, if and only if for all x, y, z with a < x < y < z < b we have: y−x z−y φ(x) + φ(z) φ(y) ≤ z−x z−x

www.probability.net

then φ is continuous. and u. t ∈ [0. b[→ R is convex. but that φ fails to be continuous on [0. Let φ : ]a. Show that if φ : ]a. b[→ R be convex. u . Let x0 ∈]a. Deﬁne φ : [0. 1]. Show that φ : ]a. 1]. b[. v ∈]a. ∀x. 1] → R by φ(0) = 1 and φ(x) = 0 for all x ∈]0. 6.probability. www. y. b[→ R is convex if and only if for all x. v[: φ(x) − φ(x0 ) φ(u ) − φ(u) φ(v ) − φ(v) ≤ ≤ u −u x − x0 v −v and deduce that limx↓↓x0 φ(x) = φ(x0 ) 5. v.Tutorial 8: Jensen inequality 2 3. Show that for all x ∈]x0 . b[ be such that u < u < x0 < v < v . z with a < x < y < z < b. 1]. y. Show that φ(tx + (1 − t)y) ≤ tφ(x) + (1 − t)φ(y).net . we have: φ(z) − φ(y) φ(y) − φ(x) ≤ y−x z−y 4.

probability. T ) be a topological space. . Let (Ω. 2. T ) be a topological space.net . . Exercise 2. T ) is compact. 1. there exists a ﬁnite subset {i1 . for all family (Vi )i∈I of open sets in Ω. . In short. We say that K is a compact subset of Ω. We say that (Ω. T ) be a topological space. in } of I such that Ω = Vi1 ∪ . ∪ Vin .Tutorial 8: Jensen inequality 3 Deﬁnition 65 Let (Ω. from any open covering of Ω. 3. it is a compact subset of itself. T ) is compact if and only if. such that Ω = ∪i∈I Vi . if and only if the induced topological space (K. . one can extract a ﬁnite sub-covering. we say that (Ω. then K is also a compact subset of Ω. T|K ) is a compact topological space. T ) is a compact topological space if and only if. and K ⊆ Ω. Show that ∅ is a compact subset of Ω. Show that if (Ω. . . Show that if Ω ⊆ Ω and K is a compact subset of Ω . Deﬁnition 66 Let (Ω. www.

www. 6. then K is a compact subset of Ω. 1. . . Let c = sup A.probability. Show that if (Vi )i∈I is a family of open sets in Ω such that K ⊆ ∪i∈I Vi .Tutorial 8: Jensen inequality 4 4. Let a. Show that there is > 0 such that a + ∈ A. if and only if for any family (Vi )i∈I of open sets in Ω such that K ⊆ ∪i∈I Vi . T ) is compact and K is closed in Ω. Let (Vi )i∈I be a family of open sets in R such that [a. 2. We deﬁne A as the set of all x ∈ [a. . b] such that [a. then K = ∪i∈I (Vi ∩ K) and Vi ∩ K is open in K for all i ∈ I. Show that if (Ω. . ∪ Vin . b ∈ R. Exercise 3. there is a ﬁnite subset {i1 . 5. b] ⊆ ∪i∈I Vi . . x] can be covered by a ﬁnite number of Vi ’s. Show that K ⊆ Ω is a compact subset of Ω. .net . Show that a ∈ A. in } of I such that K ⊆ Vi1 ∪ . a < b.

c with a < c < c < c . Show the existence of i0 ∈ I and c . 7. Show that [a. b ∈ R. Show that [a. Show that b ∧ c ≤ c and conclude that c = b.Tutorial 8: Jensen inequality 5 3.probability. b] is a compact subset of R. The closed interval [a. a < b. Theorem 34 Let a. 6. c ] ⊆ Vi0 .net . 8. b] is a compact subset of R. Show that a < c ≤ b. Show that [a. 5. www. such that ]c . c ] can be covered by a ﬁnite number of Vi ’s. 4. c ] can be covered by a ﬁnite number of Vi ’s.

Let (Ωi . Ti )i∈I be a family of Hausdorﬀ topological spaces.net . T ) be a topological space. T ) is a Hausdorﬀ topological space. www. then it is Hausdorﬀ. Let (Ω. ¯ 3. there exists open sets U and V in Ω. Let K be a compact subset of Ω and suppose there exists y ∈ K c . Show that if (Ω. then the induced topological space (Ω . such that: x∈U . y ∈ Ω with x = y. U ∩V =∅ Exercise 4. Exercise 5. T|Ω ) is itself Hausdorﬀ. y ∈V . T ) be a topological space. We say that (Ω. T ) is Hausdorﬀ and Ω ⊆ Ω.Tutorial 8: Jensen inequality 6 Deﬁnition 67 Let (Ω. T ) is metrizable. Show that if (Ω. Show that the product topological space Πi∈I Ωi is Hausdorﬀ. Show that any subset of R is Hausdorﬀ.probability. 1. if and only if for all x. 2. 4. Let (Ω. T ) be a Hausdorﬀ topological space.

. . . 2. x ∈ Wx and Vx ∩ Wx = ∅. Theorem 35 Let (Ω.probability. . if K is a compact subset.Tutorial 8: Jensen inequality 7 1. Show that K c = ∪y∈K c V y 6. Show that for all x ∈ K. Show that y ∈ V y ⊆ K c . . 4. For all K ⊆ Ω. T ) be a Hausdorﬀ topological space.net . . then it is closed. 5. www. Let V y = Vx1 ∩. Show that V y is open and V y ∩W y = ∅.∩Vxn . . 3. there are open sets Vx . Show that K is closed in Ω. such that y ∈ Vx . ∪ Wxn . xn } of K such that K ⊆ W y where W y = Wx1 ∪ . Wx in Ω. Show that there exists a ﬁnite subset {x1 . .

Let φ : R →]− 1. Show that δ(A) = 0 if and only if A = {x} for some x ∈ E. d) be a metric space. Deﬁne d (x. the element of R denoted δ(A). Deﬁnition 69 Let (E. y) = |φ(x) − φ(y)|.probability. Show that R is bounded with respect to d but not with respect to d . y) : x. 1[ be an increasing homeomorphism. 1.Tutorial 8: Jensen inequality 8 Deﬁnition 68 Let (E. y) = |x − y| and d (x. and A ⊆ E. For all A ⊆ E. www. deﬁned as δ(A) = sup{d(x.net . with the convention that δ(∅) = −∞. we ¯ call diameter of A with respect to d. y ∈ R. if and only if δ(A) < +∞. 2. Let (E. d) be a metric space. d) be a metric space. for all x. Show that d is a metric on R inducing the usual topology on R. Let A ⊆ E. We say that A is bounded. y ∈ A}. Exercise 6.

. . 4. . Suppose K is a closed subset of R which is bounded with respect to the usual metric on R. www. for all there is a ﬁnite subset {x1 . 4.Tutorial 8: Jensen inequality 9 3. is bounded with respect to any metric inducing the topology T . ) ∪ . 1. Show that K is a compact subset of [−M. Show that K is a compact subset of R.probability. ) > 0. Show that if K ⊆ E is a compact subset of E. M ]. . Show that K is also closed in [−M. M ]. xn } of K such that: K ⊆ B(x1 .net . . . M ]. 3. 2. Show that there exists M ∈ R+ such that K ⊆ [−M. ∪ B(xn . Show that any compact subset of any metrizable topological space (Ω. Exercise 7. T ).

www.Tutorial 8: Jensen inequality 10 5. then f (Ω) is a compact subset of (S. Let f : (Ω. TS ). 6. T ) → (S. TS ) be two topological spaces. TS ) be a continuous map. then the family (f −1 (Wi ))i∈I is an open covering of Ω.net . Show that any compact subset of R is closed and bounded.probability. Show that if (Ω. Show that if (Wi )i∈I is an open covering of f (Ω). and bounded with respect to the usual metric on R. Let (Ω. Show the following: Theorem 36 A subset of R is compact if and only if it is closed. 1. T ) is a compact topological space. T ) and (S. Exercise 8. 2.

¯ 3. Show that a subset of R is compact if and only if it is closed. then for all U ∈ TR with α ∈ U . then we have sup A ∈ A and inf A ∈ A. Let A be a non-empty subset of R. Show that if A is a non-empty closed subset of R. and let α = sup A. Show that if α = −∞. there exists ¯ ¯ β ∈ R with β < α and ]β. sin(x) = 0}. Conclude that α ∈ A. Show that if A is a non-empty. Show that any compact subset of R is a compact subset of R.net . 7. closed and bounded subset of R. TR ) is a compact topological space. then sup A ∈ A and inf A ∈ A. but that sup A ∈ A and inf A ∈ A. Show that A is closed in R. Show that (R. ¯ ¯ 1. ¯ 2. α] ⊆ U . www.probability.Tutorial 8: Jensen inequality 11 Exercise 9. 6. ¯ 5. Consider A = {x ∈ R . ¯ 4.

such that: f (xm ) = inf f (x) . Then.net . where (Ω. the continuity of f with respect to TR ¯ is equivalent to the continuity of f with respect to TR . T ) is a non-empty topological space. Let a. T ) is compact. T ) → (R. TR ) be a continuous map.Tutorial 8: Jensen inequality 12 Exercise 10. f attains its maximum and minimum. T ) be a compact. f (xM ) = sup f (x) x∈Ω x∈Ω Exercise 11.probability. with f (a) = f (b). b] → R be continuous on [a. and diﬀerentiable on ]a. 1. i. Let f : [a.e. xM ∈ Ω. ¯ ¯ Let f : (Ω. a < b. 2. Let (Ω. www. T ) → (R. Show the following: ¯ ¯ Theorem 37 Let f : (Ω. non-empty topological space. b]. there exist xm . Show that if f (Ω) ⊆ R. b ∈ R. TR ) be a continuous map. if (Ω. b[.

a < b. b[. b] → R be continuous on [a. b[ such that: f (b) − f (a) = (b − a)f (c) www. b[. Deﬁne: h(x) = f (x) − (x − a) f (b) − f (a) b−a 1. Then. with f (a) = f (b). Show the following: Theorem 38 (Rolle) Let a.b] f (x). Show that if c ∈]a. Show the existence of c ∈]a.net .Tutorial 8: Jensen inequality 13 1. 2. b[. Show that h is continuous on [a. b]. 2.probability. there exists c ∈]a. b] and diﬀerentiable on ]a. Let f : [a. b ∈ R. b ∈ R. Let a. b[ such that f (c) = 0. b[ and f (c) = supx∈[a. Let f : [a. a < b. b] and diﬀerentiable on ]a. b] → R be continuous on [a. and diﬀerentiable on ]a. Exercise 12. then f (c) = 0.

Let a. Show that h is continuous on [a. b]. a < b. 2. Deﬁne: n h(x) = f (b) − f (x) − k=1 (b − x)k (k) (b − x)n+1 f (x) − α k! (n + 1)! where α is chosen such that h(a) = 0. Let f : [a. We assume that f is of class C n on [a. Show that for all x ∈]a. b[: h (x) = 3. b[. and that f (n+1) exists on ]a.Tutorial 8: Jensen inequality 14 Exercise 13. Prove the following: (b − x)n (α − f (n+1) (x)) n! www. b] and diﬀerentiable on ]a. 1. b] → R be a map. b[. Let n ≥ 0.net . b ∈ R.probability.

www. b] such that f (n+1) exists on ]a. then for all x.net . we have: φ (x) ≤ φ (y) 2. Let a. Let f : [a. b[→ R be diﬀerentiable. a < b and φ : ]a. b] → R be a map of class C n on [a. with c1 < c2 and: φ(y) − φ(x) φ(z) − φ(y) = φ (c1 )(y − x) = φ (c2 )(z − y) 3. b[. b[ such that: n f (b) − f (a) = k=1 (b − a)k (k) (b − a)n+1 (n+1) f (a) + f (c) k! (n + 1)! ¯ Exercise 14. Then. c2 ∈]a. z ∈]a. there exists c ∈]a. then φ is convex. 1. b[.Tutorial 8: Jensen inequality 15 Theorem 39 (Taylor-Lagrange) Let a.probability. x < y. Show that if φ is convex. a < b. b[. b ∈ R. Show that if x. Show conversely that if φ is non-decreasing. there are c1 . b[ with x < y < z. y. b ∈ R. y ∈]a. and n ≥ 0.

and (S. Let X be a nonnegative random variable. Deﬁnition 71 Let (Ω. 5. P ) be a probability space. Σ) be a measurable space. F .r. F . F ) → (S. Show that x → ex is convex on R. P ) be a probability space.Tutorial 8: Jensen inequality 16 4. or an element of L1 (Ω. We call C expectation of X. to (S. if and only if P (Ω) = 1.probability. Σ). F .net . We call random variable w. the integral: E[X] = Ω XdP www. Show that x → − ln(x) is convex on ]0. F . any measurable map X : (Ω. +∞[. denoted E[X]. Σ). Deﬁnition 72 Let (Ω. Deﬁnition 70 we say that a ﬁnite measure space (Ω. P ) is a probability space. P ).

F ) → (R. Show that m ∈]a. Show that if E[X] = a. R 3. b[. 2. then b ∈ R and X = b P -a. 4. b[. Let m = E[X]. F . Show that φ ◦ X ∈ L1 (Ω.net Show that β ∈ R and that for all z ∈]m. Let a.s. b[. if and only if E[|φ ◦ X|] < +∞. B(R)) is measurable.probability.s. 1. 5. then a ∈ R and X = a P -a. b ∈ R.m[ φ(z) − φ(m) z−m www. Show that φ ◦ X : (Ω. we have: β≤ . P ). P ) be such R that X(Ω) ⊆]a. b[→ R be a convex map. F . 6. F . P ) be a probability space and X ∈ L1 (Ω. a < b and φ : ]a. Let (Ω.Tutorial 8: Jensen inequality 17 ¯ Exercise 15. Show that if E[X] = b. Deﬁne: β = sup φ(m) − φ(x) m−x x∈]a.

9. Then: R φ(E[X]) ≤ E[φ ◦ X] www. F . P ) is such that X(Ω) ⊆]a. Show that if φ ◦ X ∈ L1 (Ω. P ). b[→ R be a convex map. F . F . P ) then φ(m) ≤ E[φ ◦ X]. a < b and φ : ]a.net . φ(m) + β(X(ω) − m) ≤ φ(X(ω)).Tutorial 8: Jensen inequality 18 7. b[ and such R that φ ◦ X ∈ L1 (Ω. 8. F . R Theorem 40 (Jensen inequality) Let (Ω. Suppose that X ∈ L1 (Ω. Let a. we have φ(m) + β(x − m) ≤ φ(x). P ) be a probability ¯ space. b ∈ R. Show that for all x ∈]a.probability. b[. Show that for all ω ∈ Ω.

Cls Jeead-14-15 Xi Mat Target-2 Set-2 Chapter-6

Contain

1008311283233572 Syl Log is m

++History gist by Ghanshyam thori

++Environmental Studies UGC

Vision IAS Febuary 2015 Current Affairs

M 4Y Lines and Angles Assignment-1.

HRT-3 for 9th test math

M 3Y Quiz Inequalities

3.0HRT-2-2013(ACEG)

m 4y Heron's Formula Assignment

Assnm Sequence & Series Module-4.

Aiimiit Progression 1

notes.420.02

26241890 Champions Speak

C 2Y METALLURGY Extraction Purification Assignment 1

Van Gogh - The Passionate Eye (Art eBook)

The Complete Photographer - A Masterclass in Every Genre (DK Publishing) (2010)

Dpp (1) 13th Maths Ans

M 4Y Trigonometry Assignment-1

War of the Worlds

Ethics Note Topper AIR 386 Rahul Venkat

12th Paper

Rcox Thesis

Sustainable Sugarcane Initiative

- Read and print without ads
- Download to keep your version
- Edit, email or read offline

Are you sure?

This action might not be possible to undo. Are you sure you want to continue?

CANCEL

OK

You've been reading!

NO, THANKS

OK

scribd

/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->