(Quasi)additivity properties of the Legendre--Fenchel transform and its inverse, with applications in probability

Abstract: The notion of the H\"older convolution is introduced. The main result is that, under general conditions on functions L_1, ..., L_n, the function inverse to the Legendre--Fenchel transform of the H\"older convolution of L_1, ..., L_n coincides with the sum of the inverses of the Legendre--Fenchel transforms of the individual functions L_1, ..., L_n. Applications to probability theory are presented. In particular, an upper bound on the quantiles of the distribution of the sum of random variables is given.