English

On the equivalence of probability spaces

Probability 2016-01-05 v1

Abstract

For a general class of Gaussian processes WW, indexed by a sigma-algebra F\mathscr F of a general measure space (M,F,σ)(M,\mathscr F, \sigma), we give necessary and sufficient conditions for the validity of a quadratic variation representation for such Gaussian processes, thus recovering σ(A)\sigma(A), for AFA\in\mathscr F, as a quadratic variation of WW over AA. We further provide a harmonic analysis representation for this general class of processes. We apply these two results to: (i)(i) a computation of generalized Ito-integrals; and (ii)(ii) a proof of an explicit, and measure-theoretic equivalence formula, realizing an equivalence between the two approaches to Gaussian processes, one where the choice of sample space is the traditional path-space, and the other where it is Schwartz' space of tempered distributions.

Keywords

Cite

@article{arxiv.1601.00639,
  title  = {On the equivalence of probability spaces},
  author = {Daniel Alpay and Palle Jorgensen and David Levanony},
  journal= {arXiv preprint arXiv:1601.00639},
  year   = {2016}
}

Comments

To appear in Journal of Theoretical Probability