Statement of The Inequality
Let X1, ..., Xn : Ω → R be independent random variables defined on a common probability space (Ω, F, Pr), with expected value E = 0 and variance Var < +∞ for k = 1, ..., n. Then, for each λ > 0,
where Sk = X1 + ... + Xk.
Read more about this topic: Kolmogorov's Inequality
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