2025/12/21 by Ramon van Handel, van Handel, Ramon · 1 citation
Mathematics · Decision Sciences · #Point processes and geometric inequalities #Risk and Portfolio Optimization #Random Matrices and Applications
paper · doi:10.48550/arxiv.2512.18588
The aim of this expository note is to prove that any 1-subgaussian random vector is dominated in the convex ordering by a universal constant times a standard Gaussian vector. This strengthens Talagrand's celebrated subgaussian comparison theorem. The proof combines a tensorization argument due to J. Liu with ideas that date back to the work of Fernique.