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2008 Miklós Schweitzer, 11

Let $\zeta_1, \ldots, \zeta_n$ be (not necessarily independent) random variables with normal distribution for which $E\zeta_j=0$ and $E\zeta_j^2\le 1$ for all $1\le j\le n$. Prove that $$E\left( \max_{1\le j\le n} \zeta_j \right)\le\sqrt{2\log n}$$ (translated by Miklós Maróti)

2004 Miklós Schweitzer, 10

Tags: probability , normal distribution

Let $\mathcal{N}_p$ stand for a $p$ dimensional random variable of standard normal distribution. For $a\in\mathbb{R}^p$, let $H_p(a)$ stand for the expectation $E|\mathcal{N}_p+a|$. For $p>1$, prove that $$H_p(a)=(p-1)\int_0^{\infty} H_1\left( \frac{|a|}{\sqrt{r^2+1}}\right) \frac{r^{p-2}}{\sqrt{(r^2+1)^p}} \mathrm{d}r$$

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