Probability inequalities for strongly left-invariant metric semigroups/monoids, including all Lie groups

TL;DR

This paper extends probability inequalities, including Hoffmann-Jorgensen's, to a broad class of semigroups and Lie groups with invariant metrics, unifying and generalizing previous results in Banach spaces and group settings.

Contribution

It generalizes probability inequalities to all semigroups with strongly invariant metrics, including all Lie groups, and demonstrates their applications beyond Banach spaces.

Findings

Extended Hoffmann-Jorgensen inequality to strongly left-invariant metric semigroups.

Proved stochastic inequalities over Lie groups with invariant metrics.

Unified various inequalities under a broader algebraic and geometric framework.

Abstract

Recently, a general version of the Hoffmann-Jorgensen inequality was shown jointly with Rajaratnam [Ann. Probab. 2017], which (a) improved the result even for real-valued variables, but also (b) simultaneously unified and extended several versions in the Banach space literature, including that by Hitczenko and Montgomery-Smith [Ann. Probab. 2001], as well as special cases and variants of results by Johnson-Schechtman [Ann. Probab. 1989] and Klass-Nowicki [Ann. Probab. 2000], in addition to the original versions by Kahane and Hoffmann-Jorgensen. Moreover, our result with Rajaratnam was in a primitive framework: over all semigroups with a bi-invariant metric; this includes Banach spaces as well as compact and abelian Lie groups. In this note we show the result even more generally: over every semigroup $\mathscr{G}$ with a strongly left- (or right-)invariant metric. We also prove some applications of this inequality over such $\mathscr{G}$, extending Banach space-valued versions by Hitczenko and Montgomery-Smith [Ann. Probab. 2001] and by Hoffmann-Jorgensen [Studia Math. 1974]. Furthermore, we show several other stochastic inequalities - by Ottaviani-Skorohod, Mogul'skii, and Levy-Ottaviani - as well as Levy's equivalence, again over $\mathscr{G}$ as above. This setting of generality for $\mathscr{G}$ subsumes not only semigroups with bi-invariant metric (thus extending the previously shown results), but it also means that these results now hold over all Lie groups (equipped with a left-invariant Riemannian metric). We also explain why this primitive setting of strongly left/right-invariant metric semigroups $\mathscr{G}$ is equivalent to that of left/right-invariant metric monoids $\mathscr{G}_\circ$: each such $\mathscr{G}$ embeds in some $\mathscr{G}_\circ$.