Correlation Inequalities and Applications to Vector-Valued Gaussian Random Variables and Fractional Brownian Motion

In this paper we extend certain correlation inequalities for vector-valued Gaussian random variables due to Kolmogorov and Rozanov. The inequalities are applied to sequences of Gaussian random variables and Gaussian processes. For sequences of Gaussian random variables satisfying a correlation assumption, we prove a Borel-Cantelli lemma, maximal inequalities and several laws of large numbers. This extends results of Be?ka and Ciesielski and of Hytönen and the author. In the second part of the paper we consider a certain class of vector-valued Gaussian processes which are α-Hölder continuous in p-th moment. For these processes we obtain Besov regularity of the paths of order α. We also obtain estimates for the moments in the Besov norm. In particular, the results are applied to vector-valued fractional Brownian motions. These results extend earlier work of Ciesielski, Kerkyacharian and Roynette and of Hytönen and the author.