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PROBABILISTIC

INEQUALITIES

SERIES ON CONCRETE AND APPLICABLE MATHEMATICS

Series Editor: Professor George A. Anastassiou Department of Mathematical Sciences The University of Memphis Memphis, TN 38152, USA

Published

Vol. 1

Long Time Behaviour of Classical and Quantum Systems edited by S. Graffi & A. Martinez

Vol. 2

Problems in Probability by T. M. Mills

Vol. 3

Introduction to Matrix Theory: With Applications to Business and Economics by F. Szidarovszky & S. Molnár

Vol. 4

Stochastic Models with Applications to Genetics, Cancers, Aids and Other Biomedical Systems by Tan Wai-Yuan

Vol. 5

Defects of Properties in Mathematics: Quantitative Characterizations by Adrian I. Ban & Sorin G. Gal

Vol. 6

Topics on Stability and Periodicity in Abstract Differential Equations by James H. Liu, Gaston M. N’Guérékata & Nguyen Van Minh

Vol. 7

Probabilistic Inequalities by George A. Anastassiou

Series on Concrete and Applicable Mathematics – Vol. 7

PROBABILISTIC

INEQUALITIES

George A Anastassiou

University of Memphis, USA

NEW JERSEY

LONDON

University of Memphis, USA NEW JERSEY • LONDON • World Scientific SINGAPORE • BEIJING • SHANGHAI

World Scientific

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British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library.

PROBABILISTIC INEQUALITIES Series on Concrete and Applicable Mathematics — Vol. 7

Copyright © 2010 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher.

For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher.

ISBN-13 978-981-4280-78-5 ISBN-10 981-4280-78-X

Printed in Singapore.

Dedicated to my wife Koula

ThisThis pagepage intentionallyintentionally leftleft blankblank

Preface

In this monograph we present univariate and multivariate probabilistic inequalities

regarding basic probabilistic entities like expectation, variance, moment generat-

ing function and covariance. These are built on recent classical form real analy- sis inequalities also given here in full details. This treatise relies on author’s last twenty one years related research work, more precisely see [18]-[90], and it is a natural outgrowth of it. Chapters are self-contained and several advanced courses can be taught out of this book. Extensive background and motivations are given per chapter. A very extensive list of references is given at the end. The topics covered are very diverse. Initially we present probabilistic Ostrowski type inequal- ities, other various related ones, and Grothendieck type probabilistic inequalities.

A great bulk of the book is about Information theory inequalities, regarding the

Csiszar’s f -Divergence between probability measures. Another great bulk of the book is regarding applications in various directions of Geometry Moment Theory,

in particular to estimate the rate of weak convergence of probability measures to the

unit measure, to maximize profits in the stock market, to estimating the difference

of integral means, and applications to political science in electorial systems. Also

we develop Gruss¨ type and Chebyshev-Gruss¨ type inequalities for Stieltjes integrals and show their applications to probability. Our results are optimal or close to op- timal. We end with important real analysis methods with potential applications to stochastic. The exposed theory is destined to find applications to all applied sci- ences and related subjects, furthermore has its own theoretical merit and interest from the point of view of Inequalities in Pure Mathematics. As such is suitable for researchers, graduate students, and seminars of the above subjects, also to be in all science libraries. The final preparation of book took place during 2008 in Memphis, Tennessee, USA. I would like to thank my family for their dedication and love to me, which was the strongest support during the writing of this monograph.

vii

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PROBABILISTIC INEQUALITIES

I am also indebted and thankful to Rodica Gal and Razvan Mezei for their heroic and great typing preparation of the manuscript in a very short time.

George A. Anastassiou Department of Mathematical Sciences The University of Memphis, TN U.S.A. January 1, 2009

Contents

Preface

vii

1. Introduction

1

2. Basic Stochastic Ostrowski Inequalities

 

3

2.1 Introduction

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2.2 One Dimensional Results

 

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2.4 Applications

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2.5 Addendum .

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3. Multidimensional Montgomery Identities and Ostrowski type Inequalities

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3.1 Introduction

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3.2 Results

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3.3 Application to Probability Theory .

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4. General Probabilistic Inequalities

 

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4.1 Introduction

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4.2 Make Applications

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4.3 Remarks on an Inequality

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35

4.4 L q , q > 1, Related Theory

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5. About Grothendieck Inequalities

 

39

Introduction

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5.2 Main Results

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6. Basic Optimal Estimation of Csiszar’s f -Divergence

 

45

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6.2 Main Results

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PROBABILISTIC INEQUALITIES

7. Approximations via Representations of Csiszar’s f -Divergence

 

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7.1 Background

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7.2 All Results .

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8. Sharp High Degree Estimation of Csiszar’s f -Divergence

 

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8.1 Background

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8.2 Results Based on Taylor’s Formula

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8.3 Results Based on Generalized Taylor–Widder Formula

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8.4 Results Based on an Alternative Expansion Formula

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9. Csiszar’s f -Divergence as a Measure of Dependence

 

101

9.1 Background

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101

9.2 Results

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102

10. Optimal Estimation of Discrete Csiszar f -Divergence

 

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10.1 Background

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117

10.2 Results

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119

11. About a General Discrete Measure of Dependence

 

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11.1 Background

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135

11.2 Results

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12. H¨older-Like Csiszar’s f -Divergence Inequalities

 

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12.1 Background

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12.2 Results

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13. Csiszar’s Discrimination and Ostrowski Inequalities via Euler- type and Fink Identities

 

161

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13.2 Main Results

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164

14. Taylor-Widder Representations and Gruss,¨ and Csiszar’s Inequalities

Means, Ostrowski

 

173

14.1 Introduction

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14.2 Background

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14.3 Main Results

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15. Representations of Functions and Csiszar’s f -Divergence

 

193

Introduction

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15.2 Main Results

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Contents

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16. About General Moment Theory

 

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16.1 The Standard Moment Problem

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215

16.2 The Convex Moment Problem

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220

16.3 Infinite Many Conditions Moment Problem

 

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16.4 Applications – Discussion

 

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226

17. Extreme Bounds on the Average of a Rounded off Observation under a Moment Condition

 

227

17.1 Preliminaries

 

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17.2 Results

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228

18. Moment Theory of Random Rounding Rules Subject to One Moment Condition

 

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18.1 Preliminaries

 

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239

18.2 Bounds for Random Rounding Rules

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240

18.3 Comparison of Bounds for Random and Deterministic Rounding

 

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244

19. Moment Theory on Random Rounding Rules Using Two Moment Conditions

 

249

19.1 Preliminaries

 

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249

19.2 Results

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251

19.3 Proofs

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257

20. Prokhorov Radius Around Zero Using Three Moment Constraints

 

263

20.1 Introduction and Main Result

 

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263

20.2 Auxiliary Moment Problem

 

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265

20.3 Proof of Theorem 20.1.

 

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267

20.4 Concluding Remarks

 

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268

21. Precise Rates of Prokhorov Convergence Using Three Moment Conditions

 

269

21.1 Main Result

 

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269

21.2 Outline of Proof

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273

22. On Prokhorov Convergence of Probability Measures to the Unit under Three Moments

 

277

22.1 Main Result

 

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277

22.2 An Auxiliary Moment Problem

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282

22.3 Further Auxiliary Results

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22.4 Minimizing Solutions in Boxes .

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22.5

Conclusions

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23. Geometric Moment Methods Applied to Optimal Portfolio Management

 

301

Introduction

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301

23.2 Preliminaries

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23.3 Main Results

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24. Discrepancies Between General Integral Means

 

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24.1

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24.2

Results

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25. Type Inequalities Using the Stieltjes Integral

Gruss¨

 

345

25.1

Motivation .

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