Is the power of a Holder continuous function still Holder continuous? 
Question: If $f:\mathbf R\to\mathbf R_+$ is a Holder continuous function with exponent $0<\alpha<1$, how about the function $f^p$ with $p>1$? Does it still possesses the Holder continuity?
   - If yes, then what's the Holder exponent of it?
   - If no, what does the counterexample look like?
   - Can we add some assumptions such that it is still Holder continuous?


If $|f(x)^p-f(y)^p|$ can be dominated by $|f(x)-f(y)|^p$, then the answer is obviously affirmative. But then the question amount to compare $|a^p-b^p|$ with $|a-b|^p$ for $a,b\in\mathbf R_+, p>1$. Still I got no idea... And I'm not able to give a counterexample to myself...
Any hints or comments will be appreciated. TIA...
 A: I post an answer of myself...
We need some lemmas at first.

Lemma 1. Let $k\in\mathbf N_+$, $a,b\in\mathbf R$, then
  $$a^k-b^k=(a-b)\left[\sum_{i=1}^k\left(\begin{array}{c}i\\k\end{array}\right)  b^{k-i}(a-b)^{i-1}\right].$$
Lemma 2. Let $0<p\le 1$, $a,b\in\mathbf R$, then
  $$\big||a|^p-|b|^p\big|\le|a-b|^p.$$
Lemma 3. Let $p\ge q>0$, $a,b\in\mathbf R_+$, $c_{p,q}:=\left(\frac{q}{p}\right)^{\frac{1}{p-q}}$.
  (1). If $a\wedge b\ge c_{p,q}$, then
  $$|a^p-b^p|\ge|a^q-b^q|;$$
  (2). If $a\vee b\le c_{p,q}$, then
  $$|a^p-b^p|\le|a^q-b^q|.$$

Proof. Lemma 1 is an immediate consequence of the binomial theorem. See here for Lemma 2. To prove Lemma 3, we set $a\ge b$ with out loss of generality. Define $F:\mathbf R_+\to\mathbf R$ by $F(x)=x^p-x^q$. Then it's easy to see that $F$ is decreasing on $[0,c_{p,q}]$ and increasing on $[c_{p,q},\infty)$. If $a\ge b\ge c_{p,q}$, then $F(a)\ge F(b)$, i.e., $a^p-b^p\ge a^q-b^q$. If $c_{p,q}\ge a\ge b$, then $F(a)\le F(b)$, i.e., $a^p-b^p\le a^q-b^q$.
Now we get the position to investigate the Holder continuity of the power of Holder continuous functions. Let $\Omega\subset\mathbf R^d$ be a domain.

Theorem 1. Let $0<\alpha<1$, $f\in C^\alpha(\Omega)$, i.e., $f$ is a locally Holder continuous function on $\Omega$ with exponent $\alpha$.
  (1). If $0<p\le 1$, then $|f|^p\in C^{\alpha p}(\Omega)$;
  (2). If $p>1$, then $|f|^p\in C^\alpha(\Omega)$.

Proof. Choose $D\subset\subset\Omega$ and $x\ne y\in D$. Then there exists $M>0$ such that $|f|\le M$ on $D$.
(1). By Lemma 2,
$$\big||f(x)|^p-|f(y)|^p\big|\le|f(x)-f(y)|^p\le [f]_{\alpha;D}^p|x-y|^{\alpha p}.$$
(2). Define $c_{r,s}:=\left(\frac{s}{r}\right)^{\frac{1}{r-s}}$. Then $\frac{c_{p,\lfloor p\rfloor}}{M}|f|\le c_{p,\lfloor p\rfloor}$ on $D$. By Lemma 1 and 3.(2), 
\begin{align}
\left(\frac{c_{p,\lfloor p\rfloor}}{M}\right)^p \big||f(x)|^p-|f(y)|^p\big| &\le \left(\frac{c_{p,\lfloor p\rfloor}}{M}\right)^{\lfloor p\rfloor} \big||f(x)|^{\lfloor p\rfloor}-|f(y)|^{\lfloor p\rfloor}\big| \\
&\le C(M,p,\|f\|_{0;D})||f(x)|-|f(y)|| \\
&\le C(M,p,\|f\|_{0;D})|f(x)-f(y)| \\
&\le C(M,p,\|f\|_{0,\alpha;D}) |x-y|^\alpha.
\end{align}

Theorem 2. Let $0<\alpha<1$, $f\in C^\alpha(\bar\Omega)$, i.e., $f$ is a uniformly Holder continuous function on $\Omega$ with exponent $\alpha$.
  (1). If $0<p\le 1$, then $|f|^p\in C^{\alpha p}(\bar\Omega)$;
  (2). If $p>1$, then $|f|^p\in C^\alpha(\Omega)$;
  (3). If $p>1$, and there exists $M>0$ such that $|f|\le M$ on $\Omega$, then $|f|^p\in C^\alpha(\bar\Omega)$;
  (4). If $p>1$, and there exists $\delta>0$ such that $|f|\ge\delta$ on $\Omega$, then $|f|^p\in C^\alpha(\bar\Omega)$.

Proof. (1) is same as Theorem 1.(1). Note that $C^\alpha(\bar\Omega)\subset C^\alpha(\Omega)$, (2) is a corollary of Theorem 1.(2). The proof of (3) is just a revise of the proof of Theorem 1.(2) by replacing $D$ with $\Omega$. Note that $\frac{c_{\lceil p\rceil,p}}{\delta}|f|\ge c_{\lceil p\rceil,p}$, the proof of (4) is similar to Theorem 1.(2) by applying Lemma 3.(1).
