Karhunen-Loève decomposition of Gaussian measures on Banach spaces

Abstract : The study of Gaussian measures on Banach spaces is of active interest both in pure and applied mathematics. In particular, the spectral theorem for self-adjoint compact operators on Hilbert spaces provides a canonical decomposition of Gaussian measures on Hilbert spaces, the so-called Karhunen-Loève expansion. In this paper, we extend this result to Gaussian measures on Banach spaces in a very similar and constructive manner. In some sense, this can also be seen as a generalization of the spectral theorem for covariance operators associated to Gaussian measures on Banach spaces. In the special case of the standard Wiener measure, this decomposition matches with Paul Lévy's construction of Brownian motion.
Type de document :
Pré-publication, Document de travail
2017
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https://hal-emse.ccsd.cnrs.fr/emse-01501998
Contributeur : Jean-Charles Croix <>
Soumis le : mardi 4 avril 2017 - 20:57:35
Dernière modification le : vendredi 7 avril 2017 - 01:02:29

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Distributed under a Creative Commons Paternité - Pas d'utilisation commerciale - Pas de modification 4.0 International License

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  • HAL Id : emse-01501998, version 1
  • ARXIV : 1704.01448

Citation

Xavier Bay, Jean-Charles Croix. Karhunen-Loève decomposition of Gaussian measures on Banach spaces. 2017. <emse-01501998v1>

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