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fedja
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could you elaborate more on your high tech solution?

OK, but it is just a standard boring exercise giving one no intellectual pleasure whatsoever. Write $X=t+Y$ where $EY=0$. Note that $t\ge\frac 1{2M}$. Let $f=f_1$ be the pdf of $Y$. Then the pdf $f_n$ of $Y+\dots+Y$ ($n$ times) is $f*\dots*f$, so $\widehat {f_n}=(\widehat f)^n$. Now $\widehat f(z)$ is an analytic function that is bounded by $e^{-\delta}$ on $(\mathbb R\setminus[-\rho,\rho])\cup [-\rho-i\tau,-\rho+i\tau]\cup[\rho-i\tau,\rho+i\tau]$ and $|f(x+iy)|\le e^{-ax^2+by^2}$ whenever $|x|\le\rho, |y|\le\tau$ with some efficient $a,b,\rho,\tau,\delta>0$ depending on $M$ only. Now, for $n\ge 2$, we can write $$ f_n(u)=\frac{1}{2\pi}\int_C (\widehat f(z))^n e^{iuz}dz $$ where $C$ is the contour $-\infty\to -\rho\to -\rho+iy \to \rho+iy\to\rho\to +\infty$ with any $y\in[-\tau,\tau]$ we want such that $uy>0$. Bounding $|f(z)|^n$ by $e^{-\delta(n-2)}|f(z)|^2$ on $C\setminus [-\rho+iy,\rho+iy]$, we see that that part of the contour contributes at most $Ce^{-\delta n}$ (recall that $\int_{\mathbb R}|\widehat f|^2=\int_{\mathbb R}|f|^2$ is controlled and the integral over the remaining interval is at most $e^{(bny^2-uy)}\int_\mathbb R e^{-anx^2}\,dx$. We would like to take $bny=\frac u2$, i.e. $y=cu/n$ to get $n^{-1/2}e^{-\gamma u^2/n}$ from here. That is fine as long as $|u|<c'n$. If $|u|>c'n$, we only get $e^{-\tau|u|/2}$, but we have allowed ourselves an exponential error already, so the final bound $$ f_n(u)\le C(e^{-\delta n}+n^{-1/2}e^{-\gamma u^2/n}) $$ holds always. The pdf of the sum of $n$ independent copies of $X$ is just $f_n(u-nt)$. I leave the estimation of the sum to you.

fedja
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