Let $0\leq a \leq b \leq 1$. Then we have for all natural numbers $m\geq 2$ the inequality $b^{\frac{m}{2}}-a^{\frac{m}{2}} \leq\frac{m}{2}\left(b-a\right)$.
My first idea was to consider the function $f(x)=x^{\frac{m}{2}-1}$ on the interval $[0,1]$. Since $m\geq 2$ it follows that $\underset{x\in [0,1]}{\text{sup}}f(x)=1.$ Then, by the fundamental theorem of calculus we can conclude:
$\begin{align*} b^{\frac{m}{2}}-a^{\frac{m}{2}} & =\displaystyle\int_{a}^{b}\frac{m}{2}f(x)\,dx \\ & =\frac{m}{2} \displaystyle\int_{a}^{b} x^{\frac{m}{2}-1}\,dx \\ & \leq \frac{m}{2} \underset{x\in [0,1]}{\text{sup}}f(x)(b-a) \\ & = \frac{m}{2}(b-a) \end{align*}$
Is this proof correct?
Your proof is correct but you had to say that $$\sup_{[a,b]}f\le \sup_{[0,1]}f$$
hint
here is an other :
Let $$g(x)=x^{\frac m2}$$ $ g $ is continuous at $ [a,b] $ and differentiable at $ (a,b) $, then by MVT,
$$\exists c\in (a,b)\;\; :\;\frac{g(b)-g(a)}{b-a}=g'(c)$$ but $$g'(c)=\frac m2 c^{\frac m2-1}$$ and $$0<c<1$$