Exponential integrability of sub-Gaussian vectors (Q1122206)

We define two classes of Banach space \((B,\| \cdot \|)\)-valued random vectors called sub-Gaussian vectors and \(\gamma\)-sub-Gaussian vectors. The main purpose of this paper is to prove the exponential integrability of a sub-Gaussian vector X, that is, \({\mathbb{E}}[e^{\epsilon \| X\|^ 2}]<\infty\) for some \(\epsilon >0\), in the case where \(B=L_ p\). On the other hand, using the arguments of \textit{X. Fernique} [Lect. Notes Math. 480, 1-96 (1975; Zbl 0331.60025)] and \textit{M. Talagrand} [Acta Math. 159, 99-149 (1987)], we also show the exponential integrability of a \(\gamma\)-sub-Gaussian vector in an arbitrary separable Banach space. These two definitions of sub-Gaussian vectors and \(\gamma\)-sub-Gaussian vectors are not comparable, and neither of these definitions is a necessary condition for the exponential integrability. We give illuminating examples.