Sunday, 18 June 2017

probability - Concentration inequality to bound expectation

Let X be a non-negative r.v. so that
P(Xt)Cexp{t2/2σ2+bt}


for positive σ,b and C1. Show that



E[X]2σ(π+logC)+4b(1+logC)



I know how to usually get concentration bound or bound the deviation from the mean, but no idea how to bound this expectation here. Any help would be really appreciated.

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