Let A be a subset of R^n and let B be a half-space with the same Gaussian measure as A. For a pair of correlated Gaussian vectors X and Y, Pr(X in A, Y in A) is smaller than Pr(X in B, Y in B); this was originally proved by Borell, who also showed various other extremal properties of half-spaces. For example, the exit time of an Ornstein-Uhlenbeck process from A is stochastically dominated by its exit time from B. We will discuss these (and other) inequalities using a kind of modified convexity.
- Speaker: Joe Neeman (UT Austin & Bonn)
- Friday 02 December 2016, 16:00–17:00
- Venue: MR12, Centre for Mathematical Sciences, Wilberforce Road, Cambridge..
- Series: Statistics; organiser: Quentin Berthet.