Gaussian measures in function space

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Gaussian Measures in Function Space

Two Gaussian measures are either mutually singular or equivalent. This dichotomy was first discovered by Feldman and Hajek (independently). We give a simple, almost formal, proof of this result, based on the study of a certain pair of functionals of the two measures. In addition we show that two Gaussian measures with zero means and smooth Polya-type covariances (on an interval) are equivalent ...

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The present paper is a continuation of the work, carried out in [4] and [5] of investigating the relationship between a Gaussian process and its reproducing kernel Hilbert subspace. Our main result gives a characterization of the topological support of a Gaussian measure defined on a linear topological space of functions on an arbitrary set. As special cases we consider Gaussian processes on Ba...

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ژورنال

عنوان ژورنال: Pacific Journal of Mathematics

سال: 1966

ISSN: 0030-8730,0030-8730

DOI: 10.2140/pjm.1966.17.167