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Equality in Markov's inequality (Y∈{0,a}almost surely)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Probability inequality Markov's inequality
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For a finite-expected value nonnegative random variable and a>0, equality in the uncapped Markov's inequality holds exactly when Y takes only 0 and a almost surely. Indeed the nonnegative difference Y−a1{Y≥a}​ has zero expected value exactly when it vanishes almost surely. Giving a probability p yields EY=pa and P(Y≥a)=p. This shows the bound cannot generally be reduced using only the nonnegative random variable's expected value.

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