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 = \frac{\int_A\phi(f)d\mu}{\mu(A)} $.

So $ \phi(\frac{\int_Afd\mu}{\mu(A)}) \leq \frac{\int_A\phi(f)d\mu}{\mu(A)} $

Alumni Liaison

Questions/answers with a recent ECE grad

Ryne Rayburn