Mikhail Isaev</name>
<arxiv:affiliation>MIPT</arxiv:affili·2016-03-02·via math.PR updates on arXiv.org
It was proved by Hoeffding in 1963 that a real random variable X confined to [a, b] satisfies E e^(X--E X) $\le$ e^((b--a)^2/8). We generalise this to complex random variables.