The right-hand inequality is clear, so we focus on the left-hand one. Given and we may write for some . Consider the restriction of to the segment , i.e. set , . If we denote by the right-derivative of at then the convexity of yields
| (A.2) |
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and
| (A.3) |
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Now, by definition,
, and , so that (A.2) reads
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Since we also have by convexity, this shows that
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On the other hand, (A.2) combined with (A.3) yields
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and we conclude by Lemma A.2 below.
∎