Abstract Wiener space

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An abstract Wiener space is a mathematical object in measure theory, used to construct a "decent" (strictly positive and locally finite) measure on an infinite-dimensional vector space. It is named after the American mathematician Norbert Wiener. Wiener's original construction only applied to the space of real-valued continuous paths on the unit interval, known as classical Wiener space; Leonard Gross provided the generalization to the case of a general separable Banach space.

The structure theorem for Gaussian measures states that all Gaussian measures can be represented by the abstract Wiener space construction.

Definition[edit]

Let H be a separable Hilbert space. Let E be a separable Banach space. Let i : H → E be an injective continuous linear map with dense image (i.e., the closure of i(H) in E is E itself) that radonifies the canonical Gaussian cylinder set measure γH on H. Then the triple (iHE) (or simply i : H → E) is called an abstract Wiener space. The measure γ induced on E is called the abstract Wiener measure of i : H → E.

The Hilbert space H is sometimes called the Cameron–Martin space or reproducing kernel Hilbert space.

Some sources (e.g. Bell (2006)) consider H to be a densely embedded Hilbert subspace of the Banach space E, with i simply the inclusion of H into E. There is no loss of generality in taking this "embedded spaces" viewpoint instead of the "different spaces" viewpoint given above.

Properties[edit]

  • γ is a Borel measure: it is defined on the Borel σ-algebra generated by the open subsets of E.
  • γ is a Gaussian measure in the sense that f(γ) is a Gaussian measure on R for every linear functional f ∈ E, f ≠ 0.
  • Hence, γ is strictly positive and locally finite.
  • If E is a finite-dimensional Banach space, we may take E to be isomorphic to Rn for some n ∈ N. Setting H = Rn and i : H → E to be the canonical isomorphism gives the abstract Wiener measure γ = γn, the standard Gaussian measure on Rn.
  • The behaviour of γ under translation is described by the Cameron–Martin theorem.
  • Given two abstract Wiener spaces i1 : H1 → E1 and i2 : H2 → E2, one can show that γ12 = γ1 ⊗ γ2. In full:
(i_{1} \times i_{2})_{*} (\gamma^{H_{1} \times H_{2}}) = (i_{1})_{*} \left( \gamma^{H_{1}} \right) \otimes (i_{2})_{*} \left( \gamma^{H_{2}} \right),
i.e., the abstract Wiener measure γ12 on the Cartesian product E1 × E2 is the product of the abstract Wiener measures on the two factors E1 and E2.

Example: Classical Wiener space[edit]

Arguably the most frequently-used abstract Wiener space is the space of continuous paths, and is known as classical Wiener space. This is the abstract Wiener space with

H := L_{0}^{2, 1} ([0, T]; \mathbb{R}^{n}) := \{ \text{paths starting at 0 with first derivative} \in L^{2} \}

with inner product

\langle \sigma_{1}, \sigma_{2} \rangle_{L_{0}^{2,1}} := \int_{0}^{T} \langle \dot{\sigma}_{1} (t), \dot{\sigma}_{2} (t) \rangle_{\mathbb{R}^{n}} \, \mathrm{d} t,

E = C0([0, T]; Rn) with norm

\| \sigma \|_{C_{0}} := \sup_{t \in [0, T]} \| \sigma (t) \|_{\mathbb{R}^{n}},

and i : H → E the inclusion map. The measure γ is called classical Wiener measure or simply Wiener measure.

See also[edit]

References[edit]

  • Bell, Denis R. (2006). The Malliavin calculus. Mineola, NY: Dover Publications Inc. p. x+113. ISBN 0-486-44994-7. MR 2250060.  (See section 1.1)
  • Gross, Leonard (1967). "Abstract Wiener spaces". Proc. Fifth Berkeley Sympos. Math. Statist. and Probability (Berkeley, Calif., 1965/66), Vol. II: Contributions to Probability Theory, Part 1. Berkeley, Calif.: Univ. California Press. pp. 31–42. MR 0212152.