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Jan 5 at 7:11 vote accept P. Quinton
Jan 5 at 6:52 comment added P. Quinton @usul any probability distribution that has smaller or larger tail than $p$ would be in $S\setminus T$, so for instance $q_n \propto \frac{p_n}n$.
Jan 5 at 6:30 comment added P. Quinton @ChristianRemling Yes sorry, all "positive" should be "non-negative", I edited.
Jan 5 at 6:29 history edited P. Quinton CC BY-SA 4.0
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Jan 5 at 3:56 answer added Anton Petrunin timeline score: 2
Jan 5 at 2:21 comment added usul What is an example of a point in $S \setminus T$?
Jan 4 at 21:00 comment added Christian Remling I think the question you ask in the title is not exactly the one asked in the text (this latter one has the trivial counterexample $g=0$, so the first one must be the one you wanted).
Jan 4 at 18:02 comment added Iosif Pinelis You are right, $T$ is bigger than that. Somehow, I forgot that $A$ can be infinite.
Jan 4 at 17:48 comment added P. Quinton @IosifPinelis Yes $A$ is nonempty, however I think that $T$ is actually larger than the convex hull of extreme points of $S$, indeed the extreme points are $e_i$ for all $i$ but $T$ can contain distribution with infinite support (like $p$). I am now rewording my attempt, thank you for the feedback.
Jan 4 at 17:47 comment added Iosif Pinelis Also, I think your Attempts should carefully edited.
Jan 4 at 17:46 history edited P. Quinton CC BY-SA 4.0
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Jan 4 at 17:45 comment added Iosif Pinelis Also, $A$ should be required to be nonempty. Also, your $T$ is the convex hull of the set of all extreme points of $S$.
Jan 4 at 17:44 comment added P. Quinton @IosifPinelis My bad, yes $g$ is convex and bounded on $S$ and non-negative on $T$. I edited accordingly.
Jan 4 at 17:43 history edited P. Quinton CC BY-SA 4.0
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Jan 4 at 17:14 comment added Iosif Pinelis Also, by "positive" do you actually mean "nonnegative"?
Jan 4 at 16:57 comment added Iosif Pinelis Where is $g$ convex and bounded? On $S$ or only on $T$?
Jan 4 at 14:48 history asked P. Quinton CC BY-SA 4.0