Lets suppose$^1$ $x,y\in \mathbb R^3$. Then for which $s>1$ should I be expecting the following inequality to be true: $$|x|^s - |y|^s \leq C|x-y|^s \ ?$$ The constant $C$ should be independent of $x,y$.
For $s\leq 1$, its true with $C=1$, from the fact that $|\cdot|^s$ is sublinear. For $s>1$, convexity gives us $$ \left|\frac{x}2 \right|^s = \left|\frac{y}2 + \frac{x-y}2 \right|^s\leq \frac{|y|^s}2 +\frac{|x-y|^s}2$$ So that $$|x|^s \leq 2^{s-1}(|y|^s + |x-y|^s)$$ the factor of $2^{s-1}>1$ is not comforting, but I don't know if this can be improved.
$^1$ In my application, they have integer coordinates but I don't expect this to be relevant. I also don't expect the dimension 3 to play a significant role.