On Finite Range Stable-Type Concentration

DOI10.1137/S0040585X97983274zbMATH Open1166.60011OpenAlexW1995300628MaRDI QIDQ3605045FDOQ3605045

Authors Jean-Christophe Breton, Christian Houdré

Publication date 19 February 2009

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0412334

zbMATH Keywords

concentration inequalitiesstable random vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Large deviations (60F10)

Abstract: The purpose of these notes is to further complete our understanding of the stable concentration phenomenon, by obtaining the finite range behavior of $P(F-E[F]geqx)$, with $F=f(X)$ where $f$ is a Lipschitz function and $X$ is a stable random vector or with $F$ a stochastic functional on the Poisson space equipped with a stable L'evy measure.

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Cited in

(4)

• On the concentration of measure phenomenon for stable and related random vectors.
• Dimension free and infinite variance tail estimates on Poisson space
• Measure concentration for stable laws with index close to 2
• On maximal inequalities for stable stochastic integrals

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