The unit square $[0,1]^2 \subseteq \mathbb{R}^2$ as a subset of Euclidean space.
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The uniform probability measure on the unit square, obtained by restricting Lebesgue measure on $\mathbb{R}^2$ to $[0,1]^2$.
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The product measure on $(\mathbb{R}^2)^k$ corresponding to $k$ i.i.d.\ uniform points in the unit square.
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The Lebesgue volume of the unit square $[0,1]^2$ is $1$.
The uniform measure on the unit square is a probability measure.
The product measure of $k$ i.i.d.\ uniform points in the unit square is a probability measure.
Tail bound for the distance from a fixed $y \in [0,1]^2$ to a uniform sample of $k$ points: for $t > 0$, the probability that $\operatorname{dist}(y, S) > t$ is at most $e^{-(k/4) t^2}$.
The map $S \mapsto \operatorname{dist}(y, S)$ is integrable with respect to the uniform i.i.d.\ measure on $k$-tuples of points in the unit square.
The tail function $t \mapsto \mathbb{P}(\operatorname{dist}(y, S) > t)$ is integrable on $(0, \infty)$, which justifies the layer-cake representation of $\mathbb{E}[\operatorname{dist}(y, S)]$.
Lemma 9.6.2: there is a constant $C > 0$ such that for all $k \geq 1$ and any $y \in [0,1]^2$, the expected distance from $y$ to a uniform sample of $k$ i.i.d.\ points in the unit square satisfies $\mathbb{E}[\operatorname{dist}(y, S)] \leq C / \sqrt{k}$.