An Inequality Related to Bifractional Brownian Motion

Abstract

We prove that for any pair of i.i.d. random variables $X,Y$ with finite moment of order $a\in (0,2]$ it is true that $E|X-Y{|}^a\le E|X+Y{|}^a$. Surprisingly, this inequality turns out to be related with bifractional Brownian motion. We extend this result to Bernstein functions and provide some counter-examples.

5 pages