Concentration for norms of infinitely divisible vectors with independent components

Christian Houdré, Philippe Marchal, Patricia Reynaud-Bouret

Published 2006-07-03, updated 2008-11-14Version 2

We obtain dimension-free concentration inequalities for $\ell^p$-norms, $p\geq2$, of infinitely divisible random vectors with independent coordinates and finite exponential moments. Besides such norms, the methods and results extend to some other classes of Lipschitz functions.