A Gaussian small deviation inequality for convex functions

Citation
Paouris, Grigoris et Valettas, Petros, A Gaussian small deviation inequality for convex functions, Annals of probability (Online) , 46(3), 2018, pp. 1441-1454
ISSN journal
2168894X
Volume
46
Issue
3
Year of publication
2018
Pages
1441 - 1454
Database
ACNP
SICI code
Abstract
Let Z be an n-dimensional Gaussian vector and let f:Rn.R be a convex function. We prove that P(f(Z).Ef(Z).tVarf(Z)........).exp(.ct2), for all t>1 where c>0 is an absolute constant. As an application we derive variance-sensitive small ball probabilities for Gaussian processes.