Continuous Disintegrations of Gaussian Processes
Probability
2012-08-24 v6 Functional Analysis
Abstract
The goal of this paper is to understand the conditional law of a stochastic process once it has been observed over an interval. To make this precise, we introduce the notion of a continuous disintegration: a regular conditional probability measure which varies continuously in the conditioned parameter. The conditioning is infinite-dimensional in character, which leads us to consider the general case of probability measures in Banach spaces. Our main result is that for a certain quantity based on the covariance structure, the finiteness of M is a necessary and sufficient condition for a Gaussian measure to have a continuous disintegration. The condition is quite reasonable: for the familiar case of stationary processes, M = 1.
Cite
@article{arxiv.1003.0975,
title = {Continuous Disintegrations of Gaussian Processes},
author = {Tom LaGatta},
journal= {arXiv preprint arXiv:1003.0975},
year = {2012}
}