An Inequality Related to Bifractional Brownian Motion

Mikhail Lifshits, Ilya Tyurin

Published 2011-05-21Version 1

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 $E |X-Y|^a \leq E |X+Y|^a$. Surprisingly, this inequality turns out to be related with bifractional Brownian motion. We extend this result to Bernstein functions and provide some counter-examples.