2025-11 Maxima of standard Gaussian

Let \( X_1, X_2, \ldots \) be an infinite sequence of standard normal random variables which are not necessarily independent. Show that there exists a universal constant \( C \) such that \(\mathbb{E} \left[ \max_i \frac{|X_i|}{\sqrt{1 + \log i}} \right] \leq C\).

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