On the measure concentration of infinitely divisible distributions

Jing Zhang, Ze-Chun Hu, Wei Sun

Let $\mathcal{I}$ be the set of all infinitely divisible random variables\ with finite second moments, ${\mathcal{I}}_0=\{X\in \mathcal{I}:\mathrm{Var}(X)>0\}$, $P_{\cal I}=\inf_{X\in{\cal I}}P\{…