TITLE: Proof of upper-tail inequality for standard normal distribution
QUESTION [40 upvotes]: $X \sim \mathcal{N}(0,1)$, then to show that for $x > 0$,
$$
\mathbb{P}(X>x) \leq \frac{\exp(-x^2/2)}{x \sqrt{2 \pi}} \>.
$$

REPLY [37 votes]: Integrating by parts,
$$\begin{align*}
Q(x) &= \int_x^{\infty} \phi(t)\mathrm dt = \int_x^{\infty} \frac{1}{\sqrt{2\pi}}\exp(-t^2/2) \mathrm dt\\
&= \int_x^{\infty} \frac{1}{t} \frac{1}{\sqrt{2\pi}}t\cdot\exp(-t^2/2) \mathrm dt\\
&= - \frac{1}{t}\frac{1}{\sqrt{2\pi}}\exp(-t^2/2)\biggr\vert_x^\infty 
- \int_x^{\infty} \left( - \frac{1}{t^2} \right ) \left ( - \frac{1}{\sqrt{2\pi}} \exp(-t^2/2) \right )\mathrm dt\\
&= \frac{\phi(x)}{x} - \int_x^{\infty} \frac{\phi(t)}{t^2} \mathrm dt.
\end{align*}
$$
The integral on the last line above has a positive integrand and so 
must have positive value.  Therefore we have that 
$$
Q(x) < \frac{\phi(x)}{x} = \frac{\exp(-x^2/2)}{x\sqrt{2\pi}}~~ \text{for}~~ x > 0.
$$
This argument is more complicated than @cardinal's elegant proof of the
same result.  However, note that by repeating the above trick of 
integrating by parts and the 
argument about the value of an integral with positive integrand, we get that
$$
Q(x) > \phi(x) \left (\frac{1}{x} - \frac{1}{x^3}\right ) = \frac{\exp(-x^2/2)}{\sqrt{2\pi}}\left (\frac{1}{x} - \frac{1}{x^3}\right )~~ \text{for}~~ x > 0.
$$
In fact, for large values of $x$, a sequence of increasingly tighter upper and lower bounds can be developed via this argument. Unfortunately all the bounds diverge to $\pm \infty$ as $x \to 0$.