Question: 4. Let g(.) be a function satisfying g(x) > 0 for x > 0, g(x) increasing for x > 0, and E|g(X)| } < Eg(|X|)

4. Let g(.) be a function satisfying g(x) > 0 for x > 0, g(x) increasing for x > 0, and E|g(X)| <∞. Show that P{|X| > ε} <

Eg(|X|)

g(ε)

for every ε > 0.

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