Small ball probability, Inverse theorems, and applications

Let $ξ$ be a real random variable with mean zero and variance one and $A={a_1,...,a_n}$ be a multi-set in $\R^d$. The random sum $S_A := a_1 ξ_1 + ... + a_n ξ_n$ where $ξ_i$ are iid copies of $ξ$ is of fundamental importance in probability and its applications. We discuss the small ball problem, the aim of which is to estimate the maximum probability that $S_A$ belongs to a ball with given small radius, following the discovery made by Littlewood-Offord and Erdos almost 70 years ago. We will mainly focus on recent developments that characterize the structure of those sets $A$ where the small ball probability is relatively large. Applications of these results include full solutions or significant progresses of many open problems in different areas.

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