Optimal constants in concentration inequalities on the sphere and in the Gauss space

Abstract: We show several variants of concentration inequalities on the sphere stated as subgaussian estimates with optimal constants. For a Lipschitz function, we give one-sided and two-sided bounds for deviation from the median as well as from the mean. For example, we show that if $\mu$ is the normalized surface measure on $S^{n-1}$ with $n\geq 3$, $f : S^{n-1} \to \mathbb{R}$ is $1$-Lipschitz, $M$ is the median of $f$, and $t >0$, then $\mu\big(f \geq M +t\big) \leq \frac 12 e^{-nt^2/2}$. If $M$ is the mean of $f$, we have a two-sided bound $\mu\big(|f - M| \geq t\big) \leq e^{-nt^2/2}$. Consequently, if $\gamma$ is the standard Gaussian measure on $\mathbb{R}^n$ and $f : \mathbb{R}^{n} \to \mathbb{R}$ (again, $1$-Lipschitz, with the mean equal to $M$), then $\gamma \big(|f - M| \geq t\big) \leq e^{-t^2/2}$. These bounds are slightly better and arguably more elegant than those available elsewhere in the literature.