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Found problems: 2

ICMC 4, 3
Tags: expectation , inequality
Let $f,g,h : \mathbb R \to \mathbb R$ be continuous functions and \(X\) be a random variable such that $E(g(X)h(X))=0$ and $E(g(X)^2) \neq 0 \neq E(h(X)^2)$. Prove that $$E(f(X)^2) \geq \frac{E(f(X)g(X))^2}{E(g(X)^2)} + \frac{E(f(X)h(X))^2}{E(h(X)^2)}.$$ You may assume that all expected values exist. [i]Proposed by Cristi Calin[/i]

MIPT Undergraduate Contest 2019, 2.2
Tags: calculus , inequalities , probability , integration , probability and stats , expectation , function
Petya and Vasya are playing the following game. Petya chooses a non-negative random value $\xi$ with expectation $\mathbb{E} [\xi ] = 1$, after which Vasya chooses his own value $\eta$ with expectation $\mathbb{E} [\eta ] = 1$ without reference to the value of $\xi$. For which maximal value $p$ can Petya choose a value $\xi$ in such a way that for any choice of Vasya's $\eta$, the inequality $\mathbb{P}[\eta \geq \xi ] \leq p$ holds?