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2(2)(2014) 172179

Zoubir Dahmania,

a

Laboratory LPAM, Faculty SEI, UMAB, University of Mostaganem, Algeria.

Abstract

By introducing new concepts on the probability theory, new integral inequalities are established for the

fractional expectation and the fractional variance for continuous random variables. These inequalities gener-

alize some interested results in [N.S. Barnett, P. Cerone, S.S. Dragomir and J. Roumeliotis: Some inequalities for

the dispersion of a random variable whose p.d.f. is defined on a finite interval, J. Inequal. Pure Appl. Math., Vol. 2

Iss. 1 Art. 1 (2001), 1-18].

Keywords: Integral inequalities, Riemann-Liouville integral, random variable, fractional dispersion, fractional

variance.

c 2012 MJM. All rights reserved.

1 Introduction

It is well known that the integral inequalities play a fundamental role in the theory of differential equations

and applied sciences. Significant development in this theory has been achieved for the last two decades. For

details, we refer to [4, 7, 11, 16, 19, 20, 21, 23] and the references therein. Moreover, the study of fractional

type inequalities is also of great importance. We refer the reader to [2, 3, 6, 8, 10] for further information and

applications. Let us introduce now the results that have inspired our work. The first one is given in [5]; in

their paper, using Korkine identity and Holder inequality for double integrals, N.S. Barnett et al. established

several integral inequalities for the expectation E(X) and the variance 2 (X) of a random variable X having a

probability density function (p.d.f.) f : [a, b] R+ . In [13, 14], P. Kumar presented new inequalities for the

moments and for the higher order central moments of a continuous random variable. In [15], Y. Miao and G.

Yang gave new upper bounds for the standard deviation (X), for the quantity 2 (X) + (t E(X))2 , t [a, b]

and for the L p absolute deviation of a random variable X. Recently, G.A. Anastassiou et al. [2] proposed a

generalization of the weighted Montgomery identity for fractional integrals with weighted fractional Peano

kernel. More recently, M. Niezgoda [18] proposed new generalizations of the results of P. Kumar [14], by

applying some Ostrowski-Gruss type inequalities. Other paper deal with these probability inequalities can be

found in [1, 17, 22].

In this paper, we introduce new concepts on fractional random variables. Then, we obtain new inte-

gral inequalities for the fractional dispersion and the fractional variance functions of a continuous random

variable X having the probability density function (p.d. f .) f : [a, b] R+ . We also present new results for

the fractional expectation and the fractional variance. For our results, some classical integral inequalities of

Barnet et al. [5] can be deduced as some special cases.

Corresponding author.

Zoubir Dahmani / Fractional inequalities for random... 173

2 Preliminaries

Definition 2.1. [12] The Riemann-Liouville fractional integral operator of order 0, for a continuous function h on

[a, b] is defined as

1

Rt

a (t )

J [h(t)] = () 1 h()d; > 0, a < t b,

(2.1)

J 0 [h(t)] = h(t),

R

where () := 0 eu u1 du.

and

J J [h(t)] = J J [h(t)], 0, 0. (2.3)

We introduce also the following new concepts and definitions:

Definition 2.2. The fractional expectation function of order 0, for a random variable X with a positive p.d. f . f

defined on [a, b] is defined as

1

Rt

EX, (t) := J [t f (t)] = a (t ) 0, a < t b.

1 f ()d;

() (2.4)

In the same way, we define the fractional expectation function of X E(X) by:

Definition 2.3. The fractional expectation function of order 0, for a random variable X E(X) is defined as

1

Rt

a (t ) E(X)) f ()d; 0, a < t b,

EXE(X), (t) := 1 (

() (2.5)

Definition 2.4. The fractional expectation of order 0, for a random variable X with a positive p.d.f. f defined on

[a, b] is defined as

1

Rb

a (b )

EX, = EX, = () 1 f ()d; 0. (2.6)

Definition 2.5. The fractional variance function of order 0 for a random variable X having a p.d.f. f : [a, b] R+

is defined as

2 (t) := J [(t E(X))2 f (t)] = 1

Rt 1 ( E(X))2 f ()d;

() a (t )

X,

(2.7)

0, a < t b.

Rb

where E(X) := a f ()d is the classical expectation of X.

Definition 2.6. The fractional variance of order 0, for a random variable X with a p.d.f. f : [a, b] R+ is defined

as

2 = 1

Rb 1 ( E(X))2 f ()d; > 0.

X, () a (b ) (2.8)

(P1) : If we take = 1 in Definition 2.4, we obtain the classical expectation: EX,1 = E(X).

2 = 2 (X) = b ( E(X))2 f ()d.

R

(P2) : If we take = 1 in Definition 2.6, we obtain the classical variance: X,1 a

1

(P3) : For > 0, the p.d. f . f satisfies J [ f (b)] = (ba)

() .

(P4) : For = 1, we have the well known property J [ f (b)] = 1.

174 Zoubir Dahmani / Fractional inequalities for random...

3 Main Results

In this section, we present new results for fractional continuous random variables. The first main result is

the following theorem:

Theorem 3.1. Let X be a continuous random variable having a p.d.f. f : [a, b] R+ . Then we have:

(a) : For all a < t b, 0,

h (t a) i

2

J [ f (t)]X, (t) (EXE(X), (t))2 || f ||2 J [t2 ] (J [t])2 , (3.9)

( + 1)

provided that f L [a, b].

(b) : The inequality

2 1

J [ f (t)]X, (t) (EXE(X), (t))2 (t a)2 (J [ f (t)])2 (3.10)

2

is also valid for all a < t b, 0.

Proof. Let us define the quantity

1

Taking a function p : [a, b] R+ , multiplying (3.11) by (t)

() p(); (a, t), then integrating the resulting

identity with respect to from a to t, we can state that

Z t

1

(t )1 p()H(, )d

() a

(3.12)

= J [pgh(t)] g()J [ph(t)] h()J [pg(t)] + g()h()J [p(t)].

(t)1

Now, multiplying (3.12) by () p(); (a, t) and integrating the resulting identity with respect to over

(a, t), we can write

Z tZ t

1

(t )1 (t )1 p()p()H(, )dd

()

2

a a (3.13)

= 2J [p(t)]J [pgh(t)] 2J [pg(t)]J [ph(t)].

In (3.13), taking p(t) = f (t), g(t) = h(t) = t E(X), t (a, b), we have

Z tZ t

1

(t )1 (t )1 f () f ()( )2 dd

2 () a a

(3.14)

2

= 2J [ f (t)]J [ f (t)(t E(X))2 ] 2 J [ f (t)(t E(X))] .

Z tZ t

1

(t )1 (t )1 f () f ()( )2 dd

()

2

a a

RtRt

|| f ||2 21() )2 dd (3.15)

a (t )

1 (t )1 (

a

h i

(ta) 2

|| f ||2 2 (+1) J [t ] 2(J [t])2 .

For the part (b), we have

Z tZ t

1

(t )1 (t )1 f () f ()( )2 dd

2 () a a

(3.16)

sup,[a,t] |( )|2 (J [ f (t)])2 = (t a)2 (J [ f (t)])2 .

Zoubir Dahmani / Fractional inequalities for random... 175

Corollary 3.1. Let X be a continuous random variable with a p.d.f. f defined on [a, b]. Then:

(i) : If f L [a, b], then for any 0, we have

2

X, EX, || f ||2 . (3.17)

() ( + 1)( + 3) ( + 2)

(ii) : The inequality

(b a)(1) 2 2 1 (b a)2

X, EX, (3.18)

() 2 2 ()

is also valid for any 0.

Remark 3.1. (r1) : Taking = 1 in (i) of Corollary 3.1, we obtain the first part of Theorem 1 in [5].

(r2) : Taking = 1 in (ii) of Corollary 3.1, we obtain the last part of Theorem 1 in [5].

We shall further generalize Theorem 3.1 by considering two fractional positive parameters:

Theorem 3.2. Let X be a continuous random variable having a p.d.f. f : [a, b] R+ . Then we have:

(a) : For all a < t b, 0, 0,

2 2

J [ f (t)]X, (t) + J [ f (t)]X, (t) 2(EXE(X), (t))(EXE(X), (t))

h i (3.19)

(ta) 2 (ta)

|| f ||2 (+1) J [t ] + (+1) J [t2 ] 2(J [t])(J [t]) ,

(b) : The inequality

2 2

J [ f (t)]X, (t) + J [ f (t)]X, (t) 2(EXE(X), (t))(EXE(X), (t))

(3.20)

(t a)2 J [ f (t)]J [ f (t)]

Proof. Using (3.11), we can write

Z tZ t

1

(t )1 (t ) 1 p()p()H(, )dd

()() 0 0

(3.21)

= J [p(t)]J [pgh(t)] + J [p(t)]J [pgh(t)]

Taking p(t) = f (t), g(t) = h(t) = t E(X), t (a, b) in the above identity, yields

Z tZ t

1

(t )1 (t ) 1 f () f ()( )2 dd

()() 0 0

(3.22)

= J [ f (t)]J [ f (t)(t E(X))2 ] + J [ f (t)]J [ f (t)(t E(X))2 ]

We have also Z tZ t

1

(t )1 (t ) 1 f () f ()( )2 dd

()() 0 0

RtRt

1

|| f ||2 ()() )2 dd (3.23)

a (t )

1 (t ) 1 (

a

h i

(ta) 2 (ta) 2

|| f ||2 (+1) J [t ] + (+1) J [t ] 2J [t]J [t]

.

176 Zoubir Dahmani / Fractional inequalities for random...

To prove (b), we use the fact that sup,[a,t] |( )|2 = (t a)2 . We obtain

Z tZ t

1

(t )1 (t ) 1 f () f ()( )2 dd

()() 0 0 (3.24)

(t a)2 J [ f (t)]J [ f (t)].

Remark 3.2. (r1) : Applying Theorem 3.2 for = , we obtain Theorem 3.1.

(r2) : Taking = = 1 in (a) of Theorem 3.4, we obtain the first inequality of Theorem 1 in [5].

(r3) : Taking = = 1 in (b) of Theorem 3.2, we obtain the last part of Theorem 1 in [5].

Theorem 3.3. Let f be the p.d.f. of X on [a, b]. Then for all a < t b, 0, we have:

2 1

J [ f (t)]X, (t) (EXE(X), (t))2 (b a)2 (J [ f (t)])2 . (3.25)

4

Proof. Using Theorem 3.1 of [9], we can write

J [p(t)]J [pg2 (t)] (J [pg(t)])2

(3.26)

2

1

4 J [p(t)] (M m)2 .

Taking p(t) = f (t), g(t) = t E(X), t [a, b], then M = b E(X), m = a E(X). Hence, (3.25) allows us to

obtain

2

0 J [ f (t)]J [ f (t)(t E(X))2 ] J [ f (t)(t E(X))]

(3.27)

41 (J [ f (t)])2 (b a)2 .

2 1

J [ f (t)]X, (t) (EXE(X), (t))2 (J [ f (t)])2 (b a)2 . (3.28)

4

Theorem 3.3 is thus proved.

Corollary 3.2. Let f be the p.d.f. of X on [a, b]. Then for any 0, we have:

(b a)(1) 2 1

X, (EXE(X), )2 2 (b a)2 . (3.29)

() 4 ()

We also present the following result for the fractional variance function with two parameters:

Theorem 3.4. Let f be the p.d.f. of the random variable X on [a, b]. Then for all a < t b, 0, 0, we have:

2 2

J [ f (t)]X, (t) + J [ f (t)]X, (t)

(a + b 2E(X)) J [ f (t)](EXE(X), (t)) + J [ f (t)](EXE(X), (t)) .

Zoubir Dahmani / Fractional inequalities for random... 177

h i2

J [p(t)]J [pg2 (t)] + J [p(t)]J (pg2 (t)] 2J [pg(t)]J [pg(t)]

h

MJ [p(t)] J [pg(t)] J [pg(t)] mJ [p(t)] + (3.31)

i2

J [pg(t)] mJ [p(t)] MJ [p(t)] J [pg(t)] .

h

J [ f (t)]J [ f (t)(t E(X))2 ] + J [ f (t)]J [ f (t)(t E(X))2 ]

i2

2J [ f (t)(t E(X))]J [ f (t)(t E(X))]

h (3.32)

MJ [ f (t)] J [ f (t)(t E(X))] J [ f (t)(t E(X))] mJ [ f (t)] +

i2

J [ f (t)(t E(X))] mJ [ f (t)] MJ [ f (t)] J [ f (t)(t E(X))] .

Combining (3.22) and (3.32) and taking into account the fact that the left hand side of (3.22) is positive, we

get:

J [ f (t)]J [ f (t)(t E(X))2 ] + J [ f (t)]J [ f (t)(t E(X))2 ]

(3.33)

MJ [ f (t)] J [ f (t)(t (EX))] J [ f (t)(t E(X))] mJ [ f (t)] +

J [ f (t)(t E(X))] mJ [ f (t)] MJ [ f (t)] J [ f (t)(t E(X))] .

Therefore,

J [ f (t)]J [ f (t)(t E(X))2 ] + J [ f (t)]J [ f (t)(t E(X))2 ]

M J [ f (t)](EXE(X), (t)) + J [ f (t)](EXE(X), (t))

(3.34)

+m J [ f (t)](E XE(X), (t)) + J [ f (t)](E XE(X), (t))

Substituting the values of m and M in (3.28) , then a simple calculation allows us to obtain (3.30). Theorem

3.4 is thus proved.

Corollary 3.3. Let f be the p.d.f. of X on [a, b]. Then for all a < t b, 0, the inequality

2

X, (t) + (a E(X))(b E(X))J [ f (t)]

(3.35)

(a + b 2E(X))EXE(X), (t)

is valid.

178 Zoubir Dahmani / Fractional inequalities for random...

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