Exponential integrability in Gauss space

Abstract: Talagrand observed that finiteness of

m a t h b b E, e^{f r a c 12 | a b l a f (X) |^{2}}

implies finiteness of

m a t h b b E, e^{, f (X)}

where

X

is the standard Gaussian vector in

m a t h b b R^{n}

and

f

is a smooth function with zero average. However, in this paper we show that finiteness of

m a t h b b E, e^{f r a c 12 | a b l a f |^{2}} (1 + | a b l a f |)^{- 1}

implies finiteness of

m a t h b b E, e^{, f (X)}

, and we also obtain quantitative bounds �egin{align*} log, mathbb{E}, e^{, f} leq 10, mathbb{E}, e^{frac{1}{2}|

abla f|^{2}} (1+|

abla f|)^{-1}. end{align*} Moreover, the extra factor

(1 + | a b l a f |)^{- 1}

is the best possible in the sense that there is smooth

f

with

m a t h b b E, e^{, f} = i n f t y

but

m a t h b b E, e^{f r a c 12 | a b l a f |^{2}} (1 + | a b l a f |)^{- c} < i n f t y

for all

c > 1

. As an application we show corresponding dual inequalities for the discrete time dyadic martingales and its quadratic variations.

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