A problem in Probability theory
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This is a problem in KaiLai Chung's A Course in Probability Theory . Given a nonnegative random variable $X$ defined on $Omega$ , if $mathbb{E}(X^2)=1$ and $mathbb{E}(X)geq a >0$ , prove that $$mathbb{P}(Xgeq lambda a)geq (a-lambda a)^2$$ for $0leqlambda leq 1$ . Let $A={xin Omega:X(x)geq lambda a}$ , we get $$int_A (X-lambda a)geq a-int_Alambda a -int_{A^c}X$$ and $$int_A (X^2-lambda^2 a^2)=1-int_Alambda^2a^2-int_{A^c}X^2$$ I want to contrast $int_A (X-lambda a)$ and $int_A (X^2-lambda^2 a^2)$ , but I don't know how to do it, could anyone gives me some hints?
probability integration lp-spaces
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