Royen’s Proof of the Gaussian Correlation Inequality

By Rafal Latala, D. Matlak. 2015

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We present in detail Thomas Royen’s proof of the Gaussian correlation inequality which states that μ(K ∩ L) ≥ μ(K)μ(L) for any centered Gaussian measure μ on \(\mathbb{R}^{d}\) and symmetric convex sets K, L in \(\mathbb{R}^{d}\).

Subfields: Applied Mathematics

View Paper: https://www.semanticscholar.org/paper/65bbf466bb7c8dce08d0c60c80eced331d64de19