Introduction to Probability Ariel Yadin Lecture 11 1. Jensen's ...

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Introduction to Probability Ariel Yadin Lecture 11 1. Jensen's Inequality Recall that a function g : R→ R is convex on [a, b] if for any 0 < λ < 1, and any x, y ∈ [a, b], g(λx+ (1− λ)y) ≤ λg(x) + (1− λ)g(y). For example, any twice differentiable function such that g′′ ≥ 0 is convex.

• cauchy-schwarz inequality
• cov
• inner products
• probability space
• random variables
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