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2885概率中等derivationmedium

Sub-Gaussian Sum with a Volatility Proxy

题目

Suppose X1,,XnX_1,\dots,X_n are independent centered random variables and each satisfies \[ E[e^{tX_i}]\le e^{\sigma^2 t^2/2}\qquad\text{for all }t\in\mathbb R. \] Show that for Sn=i=1nXiS_n=\sum_{i=1}^n X_i, \[ P(S_n\ge x)\le \exp\!\left(-\frac{x^2}{2n\sigma^2}\right). \]

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