A convexity property of expectations under exponential weights

Abstract

Take a random variable X with some finite exponential moments. Define an exponentially weighted expectation by E^t(f) = E(e^{tX}f)/E(e^{tX}) for admissible values of the parameter t. Denote the weighted expectation of X itself by r(t) = E^t(X), with inverse function t(r). We prove that for a convex function f the expectation E^{t(r)}(f) is a convex function of the parameter r. Along the way we develop correlation inequalities for convex functions. Motivation for this result comes from equilibrium investigations of some stochastic interacting systems with stationary product distributions. In particular, convexity of the hydrodynamic flux function follows in some cases.