The first result in this direction was given by David Preiss in 1979: there exists a Gaussian measure γ on an (infinite-dimensional) separable Hilbert space H so that the Vitali covering theorem fails for (H, Borel(H), γ).
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In mathematics, the Gaussian isoperimetric inequality, proved by Boris Tsirelson and Vladimir Sudakov and independently by Christer Borell, states that among all sets of given Gaussian measure in the n-dimensional Euclidean space, half-spaces have the minimal Gaussian boundary measure.