A normal comparison inequality and its applications (Q1606048)

Let \(\xi=(\xi_i, 1 \leq i \leq n)\) and \(\eta= (\eta_i, 1 \leq i \leq n)\) be standard normal random variables with covariance matrices \(R^1=(r_{ij}^1)\) and \(R^0=(r_{ij}^0)\), respectively. Slepian's lemma says that if \(r_{ij}^1 \geq r_{ij}^0\) for \(1 \leq i, j \leq n\), the lower bound \(\mathbb{P}(\xi_i \leq u \text{ for } 1 \leq i \leq n) /\mathbb{P}(\eta_i \leq u \text{ for } 1 \leq i \leq n)\) is at least 1. In this paper an upper bound is given. The usefulness of the upper bound is justified with three concrete applications: (i) the new law of the iterated logarithm of Erdős and Révész, (ii) the probability that a random polynomial does not have a real zero and (iii) the random pursuit problem for fractional Brownian particles. In particular, a conjecture of Kesten (1992) on the random pursuit problem for Brownian particles is confirmed, which leads to estimates of principal eigenvalues.