Kolmogorov’s inequality

Let X1,,Xn be independentPlanetmathPlanetmath random variablesMathworldPlanetmath in a probability spaceMathworldPlanetmath, such that E[Xk]=0 and Var[Xk]< for k=1,,n. Then, for each λ>0,


where Sk=X1++Xk.

Title Kolmogorov’s inequality
Canonical name KolmogorovsInequality
Date of creation 2013-03-22 13:13:15
Last modified on 2013-03-22 13:13:15
Owner Koro (127)
Last modified by Koro (127)
Numerical id 9
Author Koro (127)
Entry type Theorem
Classification msc 60E15
Related topic ChebyshevsInequality2
Related topic MarkovsInequality
Related topic ChebyshevsInequality