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Jensen's inequality can be proved in several ways, and three different proofs corresponding to the different statements above will be offered. Before embarking on these mathematical derivations, however, it is worth analyzing an intuitive graphical argument based on the probabilistic case where X is a real number (see figure).
There are three inequalities between means to prove. There are various methods to prove the inequalities, including mathematical induction, the Cauchy–Schwarz inequality, Lagrange multipliers, and Jensen's inequality. For several proofs that GM ≤ AM, see Inequality of arithmetic and geometric means.
A convex function of a martingale is a submartingale, by Jensen's inequality. For example, the square of the gambler's fortune in the fair coin game is a submartingale (which also follows from the fact that X n 2 − n is a martingale). Similarly, a concave function of a martingale is a supermartingale.
Download as PDF; Printable version; ... In mathematics, Jensen's theorem may refer to: Johan Jensen's inequality for convex functions; Johan Jensen's formula in ...
Jensen's inequality: If : is a convex function, then (()) (()). Conditional variance : Using the conditional expectation we can define, by analogy with the definition of the variance as the mean square deviation from the average, the conditional variance
Instead, he was a successful engineer for the Copenhagen Telephone Company between 1881 and 1924, and became head of the technical department in 1890. All his mathematics research was carried out in his spare time. Jensen is mostly renowned for his famous inequality, Jensen's inequality. In 1915, Jensen also proved Jensen's formula in complex ...
Example of Frost diagram for the manganese species. A Frost diagram or Frost–Ebsworth diagram is a type of graph used by inorganic chemists in electrochemistry to illustrate the relative stability of a number of different oxidation states of a particular substance. The graph illustrates the free energy vs oxidation state of a chemical species.
Hölder's inequality; Jackson's inequality; Jensen's inequality; Khabibullin's conjecture on integral inequalities; Kantorovich inequality; Karamata's inequality; Korn's inequality; Ladyzhenskaya's inequality; Landau–Kolmogorov inequality; Lebedev–Milin inequality; Lieb–Thirring inequality; Littlewood's 4/3 inequality; Markov brothers ...