On the equivalence of probability spaces
Abstract
For a general class of Gaussian processes , indexed by a sigma-algebra of a general measure space , we give necessary and sufficient conditions for the validity of a quadratic variation representation for such Gaussian processes, thus recovering , for , as a quadratic variation of over . We further provide a harmonic analysis representation for this general class of processes. We apply these two results to: a computation of generalized Ito-integrals; and 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