A note on the Ehrhard inequality
We prove that for λ ∈ [0,1] and A, B two Borel sets in with A convex, , where is the canonical gaussian measure in and is the inverse of the gaussian distribution function.
We prove that for λ ∈ [0,1] and A, B two Borel sets in with A convex, , where is the canonical gaussian measure in and is the inverse of the gaussian distribution function.