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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2019 Volume 64, Issue 3, Pages 590–598 (Mi tvp5249)

Short Communications

On optimal upper bound on the tail probability for sums of random variables

I. Pinelis

Department of Mathematical Sciences, Michigan Technological University, Houghton, MI, USA

Abstract: Let $s$ be any given real number. An explicit construction is provided of random variables (r.v.'s) $X$ and $Y$ such that $\sup\mathbf{P}(X+Y\ge s)$ is attained, where the $\sup$ is taken over all r.v.'s $X$ and $Y$ with given distributions.

Keywords: sums of random variables, tails of distributions, probability inequalities, extremal problems.

Received: 12.10.2017
Revised: 23.03.2018
Accepted: 05.04.2018

DOI: 10.4213/tvp5249


 English version:
Theory of Probability and its Applications, 2019, 64:3, 474–480

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