Cantelli's conjecture on Gaussian mixtures

Let X,YX,Y be independent real random variables with standard Gaussian distribution, and let φ\varphi be a measurable non-negative function. The random variable X+φ(X)YX+\varphi(X)\cdot Y is said to have a Gaussian distribution when its law is Gaussian.

Cantelli's conjecture. The random variable X+φ(X)YX+\varphi(X)\cdot Y has a Gaussian distribution if and only if φ\varphi is constant.

This question asks whether a non-constant positive measurable function can preserve Gaussianity in this construction. The paper's abstract states that it constructs a counterexample, so the conjecture is refuted.

Sources & referencesView supporting material

Primary source

Victor Kleptsyn and Aline Kurtzmann, “A counterexample to the Cantelli conjecture through the Skorokhod embedding problem”, arXiv:1202.2250 (2015).

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