Prove Jensen's inequality for discrete random variables via induction as follows. For a convex function (f) :
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Prove Jensen's inequality for discrete random variables via induction as follows. For a convex function \(f\) :
(a) Let a random variable \(X\) take on two values \(x_{1} (b) Assume that \(E[f(X)] \geq f(E[X])\) for any discrete random variable \(X\) that takes on \(N\) values. Show that \(E[f(X)] \geq f(E[X])\) for any discrete random variable \(Y\) that takes on \(N+1\) values.
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Related Book For
Mathematical Techniques In Finance An Introduction Wiley Finance
ISBN: 9781119838401
1st Edition
Authors: Amir Sadr
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