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Questions related to various forms of integration including the Riemann integral, Lebesgue integral, Riemann–Stieltjes integral, double integrals, line integrals, contour integrals, surface integrals, integrals of differential forms, ...
5
votes
If $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. Are ot...
$\newcommand\R{\mathbb R}$Pinelis mentions the result
$$E[\psi(X-Y)] \le E[\psi(X+Y)], \tag{3'}\label{3'}$$
where $\psi\colon\R^n\to\R$ is any continuous negative definite function and $X$ and $Y$ are …
0
votes
Monotone convergence theorem for stochastic integrals
To add to the answer by JGWang: The MCT is useful beyond the DCT only when we do not know that the limit is integrable. But in this context, the MCT depends crucially on some form of nonnegativity so …