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I have to prove an inequality between probability and expectation and I wanted to ask for help on it. Here is the problem:

Assume that $Y \ge 0$ and $E Y^2 < \infty$. I need to prove that:

$$\Pr(Y > 0) \ge \frac{(EY)^2}{(EY^2)}$$

Thanks for your help and hints in advance.

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1 Answer 1

up vote 3 down vote accepted

Hint: Apply Cauchy-Schwarz inequality to $Y=Y\cdot\mathbf 1_{Y\gt0}$.

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Thanks a lot... –  Sam Oct 26 '12 at 17:20

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