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This lecture covers Hoeffding's inequality, focusing on the proof and applications in the context of independent and integrable random variables. The instructor explains the concept step by step, emphasizing the conditions under which the inequality holds and its implications for bounded random variables. The lecture also delves into Chebyshev's inequality and the general statement related to independent and integrable random variables. Through various examples and proofs, the lecture provides a comprehensive understanding of how these inequalities can be applied in probability theory and statistical analysis.