Exercise 2.11 (Markovs Inequality) Let X be any random variable. For any smooth function h(x), show that
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Exercise 2.11 (Markov’s Inequality) Let X be any random variable. For any smooth function h(x), show that
provided that the expectation exists. Hint: Take A = {x : |h(x)| > a} and apply Proposition 2.2.
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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