2885概率中等derivationmedium
Sub-Gaussian Sum with a Volatility Proxy
题目
Suppose 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 , \[ P(S_n\ge x)\le \exp\!\left(-\frac{x^2}{2n\sigma^2}\right). \]
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