1.

(Moment Inequality)
X (, F , P) g(X) E[g(X)]
E[ g ( X )]
P( g ( X ) ) , 0.

2. (Markov Inequality)
k
E[ X ]
X (, F , P) k , 0
k
E[ X ]
P ( X ) .
k

3. (Chebyshev Inequality)
X (, F , P) E[X], E[X2] E[ X ], E[ X ], k 0
2 2

2
P X k 2 .
k

4. Jensens Inequality
X, ( X ) (integrable random variables) E[ X ], E[ ( X )]
(a) (g) (convex function, &
&( x) 0 )
E[ X ] E ( X ) .
(b) (g) (concave function, & &( x) 0 )
E[ X ] E ( X ) .