Gaussian measures of dilatations of convex symmetric sets (Q1577744): Difference between revisions

Let \(\mu\) be a centered Gaussian measure on a separable Banach space \(F\). The following interesting result is proved: If \(A\) is any symmetric, convex, closed subset of \(F\) and \(P= \{x\in F:|x^*(x)|\leq 1\}\), \(x^*\in F^*\), is a symmetric strip such that \(\mu(A)= \mu(P)\), then \(\mu(tA)\geq \mu(tP)\) for \(t\geq 1\) and \(\mu(tA)\leq \mu(tP)\) for \(0\leq t\leq 1\). This theorem was conjectured by Shepp (1969) and was proved under additional assumptions by \textit{S. Kwapień} and \textit{J. Sawa} [Stud. Math. 105, No. 2, 173-187 (1993; Zbl 0810.60035)]. The crucial and technically involved part of the proof is Theorem 2. It gives an inequality for the canonical Gaussian measure in \(\mathbb{R}^2\) of the sets of the form \(\{(x,y): x\in(-w,w),y\leq f(x)\}\), where \(f\) is a symmetric, smooth, concave function on \((-w,w)\), nonincreasing on \((0,w)\) and satisfying \(\lim_{x\to w-}f(x)= -\infty\), while \(w\) is arbitrary.