grandes-ecoles 2020 Q1

grandes-ecoles · France · x-ens-maths-b__mp_cpge Discrete Random Variables Probability Bounds and Inequalities for Discrete Variables
Let $Z$ be a discrete real random variable such that $\exp(\lambda Z)$ has finite expectation for all $\lambda > 0$. Show that for all $\lambda > 0$ and $t \in \mathbb{R}$, $$P[Z \geqslant t] \leqslant \exp(-\lambda t) E[\exp(\lambda Z)].$$
Let $Z$ be a discrete real random variable such that $\exp(\lambda Z)$ has finite expectation for all $\lambda > 0$. Show that for all $\lambda > 0$ and $t \in \mathbb{R}$,
$$P[Z \geqslant t] \leqslant \exp(-\lambda t) E[\exp(\lambda Z)].$$