Borel-TIS inequality
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Theorem
Let $T$ be a topological space.
Let $\sequence {f_t}_{t \mathop \in T}$ be a centred (i.e. mean zero) Gaussian process on $T$, such that:
- $\norm f_T := \sup_{t \mathop \in T} \size {f_t}$
is almost surely finite.
Let:
- $\sigma_T^2 := \sup_{t \mathop \in T} \operatorname E \size {f_t}^2$
Then $\map {\operatorname E} {\norm f_T}$ and $\sigma_T$ are both finite, and, for each $u > 0$:
- $\map {\operatorname P} {\norm f_T > \map {\operatorname E} {\norm f_T} + u} \le \map \exp {\dfrac {-u^2} {2 \sigma_T^2} }$
Proof
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