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Probability and Measure, Lecture 9: Lp spaces and Inequalities
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We introduce the notion of Lp spaces and mainly focus on proving a list of very useful inequalities, which are Markov's, Chebyshev's, Chernoff's, Jensen's, Hölder's, Cauchy-Schwarz, and Minkowski's inequalities. At the end of this video, we prove an approximation theorem for Lp spaces that roughly says we can find a simple function that is 'close' to any Lp function.
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