Electronic Communications in Probability

A Gaussian Correlation Inequality and its Applications to Small Ball Probabilities

Wenbo Li

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We present a Gaussian correlation inequality which is closely related to a result of Schechtman, Schlumprecht and Zinn (1998) on the well-known Gaussian correlation conjecture. The usefulness of the inequality is demonstrated by several important applications to the estimates of small ball probability.

Article information

Electron. Commun. Probab., Volume 4 (1999), paper no. 14, 111-118.

Accepted: 29 September 1999
First available in Project Euclid: 2 March 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G15: Gaussian processes
Secondary: 60E15: Inequalities; stochastic orderings 60J65: Brownian motion [See also 58J65]

Small ball probabilities Gaussian correlation inequality

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Li, Wenbo. A Gaussian Correlation Inequality and its Applications to Small Ball Probabilities. Electron. Commun. Probab. 4 (1999), paper no. 14, 111--118. doi:10.1214/ECP.v4-1012. https://projecteuclid.org/euclid.ecp/1456938436

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