Revision as of 09:49, 22 July 2008 by Dvtran (Talk)

Define a function from the set of all measurable subset $ B $ of $ A $ as below

$ \lambda(B)=\frac{\mu(B)}{\mu(A)} $

This is clearly a measure on $ A $ with $ \lambda(A)=1 \frac{}{} $

Moreover, $ \int_{A}fd\mu = \mu(A)\int_A f d\lambda \frac{}{} $.

By Jensen's Inequality, we get

$ \phi(\int_Afd\lambda \leq \int_A\phi(f)d\lambda $

Alumni Liaison

Correspondence Chess Grandmaster and Purdue Alumni

Prof. Dan Fleetwood