An Inequality Related to Bifractional Brownian Motion
Abstract
We prove that for any pair of i.i.d. random variables X,Y with finite moment of order a ∈ (0,2] it is true that E |X-Y|a ≤ E |X+Y|a. Surprisingly, this inequality turns out to be related with bifractional Brownian motion. We extend this result to Bernstein functions and provide some counter-examples.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.