Mill's Inequality

Statement
Suppose Z∼N(0,${\sigma }^2$). Then we have the tail bound:
P { ∣ Z ∣ > t } ≤ 2 π σ t exp ⁡ { − t 2 2 σ 2 } \mathbf{P}\{|Z|>t\} \leq \sqrt{\frac{2}{\pi}} \frac{\sigma}{t} \exp \left\{-\frac{t^{2}}{2 \sigma^{2}}\right\} P{∣Z∣>t}≤π2​ ​tσ​exp{−2σ2t2​}
Intuitively, this kind of tail bound is useful because we can get exponentially-fast decay without calculating the distribution function directly.
http://huisaddison.com/blog/mills-inequality.html