The Gaussian Conjugate Rogers-Shephard Inequality

Abstract

We fuse between the Rogers-Shephard inequality for the Lebesgue measure and Royen's Gaussian Correlation Inequality, simultaneously extending both into a single sharp inequality for the Gaussian measure $γ$ on $\mathbb{R}^n$, stating that \[ γ(K) γ(L) \leq γ(K\cap L) γ(K+L) \] whenever $K$ and $L$ are origin-symmetric convex sets in $\mathbb{R}^n$. This confirms a conjecture of M. Tehranchi [https://doi.org/10.1214/17-ECP89]. In fact, we show that the inequality remains valid whenever the Gaussian barycenters of $K$ and $L$ are at the origin, and characterize the equality cases. After rescaling, this also yields the following new inequality for convex sets with (Lebesgue) barycenters at the origin: \[ |K| |L| \leq |K \cap L| |K + L | ; \] this can be seen as a conjugate counterpart to Spingarn's extension of the Rogers-Shephard inequality (where $K+L$ is replaced by $K-L$ above). We also derive an additional conjugate version of a Gaussian inequality due to V. Milman and Pajor, as well as several extensions. Our main tool is a new Gaussian Forward-Reverse Brascamp-Lieb inequality for centered log-concave functions, of independent interest, which is crucially applicable to degenerate Gaussian covariances.