Exponential inequalities in probability spaces revisited

Abstract

We revisit several results on exponential integrability in probability spaces and derive some new ones. In particular, we give a quantitative form of recent results by Cianchi–Musil and Pick in the framework of Moser–Trudinger-type inequalities, and recover Ivanisvili–Russell’s inequality for the Gaussian measure. One key ingredient is the use of a dual argument, which is new in this context, that we also implement in the discrete setting of the Poisson measure on integers.