Abstract Wiener space
The concept of an abstract Wiener space is a mathematical construction developed by Leonard Gross to understand the structure of Gaussian measures on infinite-dimensional spaces. The construction emphasizes the fundamental role played by the Cameron–Martin space. The classical Wiener space is the prototypical example.
The structure theorem for Gaussian measures states that all Gaussian measures can be represented by the abstract Wiener space construction.
where is supposed to be a normalization constant and where is supposed to be the non-existent Lebesgue measure on . Such integrals arise, notably, in the context of the Euclidean path-integral formulation of quantum field theory. At a mathematical level, such an integral cannot be interpreted as integration against a measure on the original Hilbert space . On the other hand, suppose is a Banach space that contains as a dense subspace. If is "sufficiently larger" than , then the above integral can be interpreted as integration against a well-defined (Gaussian) measure on . In that case, the pair is referred to as an abstract Wiener space.
The prototypical example is the classical Wiener space, in which is the Hilbert space of real-valued functions on an interval having one derivative in and satisfying , with the norm being given by
In that case, may be taken to be the Banach space of continuous functions on with the supremum norm. In this case, the measure on is the Wiener measure describing Brownian motion starting at the origin. The original subspace is called the Cameron–Martin space, which forms a set of measure zero with respect to the Wiener measure.
What the preceding example means is that we have a formal expression for the Wiener measure given by
Although this formal expression suggests that the Wiener measure should live on the space of paths for which , this is not actually the case. (Brownian paths are known to be nowhere differentiable with probability one.)
Gross's abstract Wiener space construction abstracts the situation for the classical Wiener space and provides a necessary and sufficient (if sometimes difficult to check) condition for the Gaussian measure to exist on . Although the Gaussian measure lives on rather than , it is the geometry of rather than that controls the properties of . As Gross himself puts it (adapted to our notation), "However, it only became apparent with the work of I.E. Segal dealing with the normal distribution on a real Hilbert space, that the role of the Hilbert space was indeed central, and that in so far as analysis on is concerned, the role of itself was auxiliary for many of Cameron and Martin's theorems, and in some instances even unnecessary." One of the appealing features of Gross's abstract Wiener space construction is that it takes as the starting point and treats as an auxiliary object.
Although the formal expressions for appearing earlier in this section are purely formal, physics-style expressions, they are very useful in helping to understand properties of . Notably, one can easily use these expressions to derive the (correct!) formula for the density of the translated measure relative to , for . (See the Cameron–Martin theorem.)
Cylinder set measure on 
Let be a Hilbert space defined over the real numbers, assumed to be infinite dimensional and separable. A cylinder set in is a set defined in terms of the values of a finite collection of linear functionals on . Specifically, suppose are continuous linear functionals on and is a Borel set in . Then we can consider the set
Any set of this type is called a cylinder set. The collection of all cylinder sets forms an algebra of sets in but it is not a -algebra.
There is a natural way of defining a "measure" on cylinder sets, as follows. By the Riesz theorem, the linear functionals are given as the inner product with vectors in . In light of the Gram–Schmidt procedure, it is harmless to assume that are orthonormal. In that case, we can associate to the above-defined cylinder set the measure of with respect to the standard Gaussian measure on . That is, we define
where is the standard Lebesgue measure on . Because of the product structure of the standard Gaussian measure on , it is not hard to show that is well defined. That is, although the same set can be represented as a cylinder set in more than one way, the value of is always the same.
Nonexistence of the measure on 
The set functional is called the standard Gaussian cylinder set measure on . Assuming (as we do) that is infinite dimensional, does not extend to a countably additive measure on the -algebra generated by the collection of cylinder sets in . One can understand the difficult by considering the behavior of the standard Gaussian measure on given by
The expectation value of the squared norm with respect to this measure is computed as an elementary Gaussian integral as
That is, the typical distance from the origin of a vector chosen randomly according to the standard Gaussian measure on is As tends to infinity, this typical distance tends to infinity, indicating that there is no well-defined "standard Gaussian" measure on . (The typical distance from the origin would be infinite, so that the measure would not actually live on the space .)
Existence of the measure on 
Now suppose that is a separable Banach space and that is an injective continuous linear map whose image is dense in . It is then harmless (and convenient) to identify with its image inside and thus regard as a dense subset of . We may then construct a cylinder set measure on by defining the measure of a cylinder set to be the previously defined cylinder set measure of , which is a cylinder set in .
The idea of the abstract Wiener space construction is that if is sufficiently bigger than , then the cylinder set measure on , unlike the cylinder set measure on , will extend to a countably additive measure on the generated -algebra. The original paper of Gross gives a necessary and sufficient condition on for this to be the case. The measure on is called a Gaussian measure and the subspace is called the Cameron–Martin space. It is important to emphasize that forms a set of measure zero inside , emphasizing that the Gaussian measure lives only on and not on .
The upshot of this whole discussion is that Gaussian integrals of the sort described in the motivation section do have a rigorous mathematical interpretation, but they do not live on the space whose norm occurs in the exponent of the formal expression. Rather, they live on some larger space.
Universality of the construction
The abstract Wiener space construction is not simply one method of building Gaussian measures. Rather, every Gaussian measure on a infinite-dimensional Banach space occurs in this way. (See the structure theorem for Gaussian measures.) That is, given a Gaussian measure on an infinite-dimensional, separable Banach space (over ), one can identify a Cameron–Martin subspace , at which point the pair becomes an abstract Wiener space and is the associated Gaussian measure.
- is a Borel measure: it is defined on the Borel σ-algebra generated by the open subsets of B.
- is a Gaussian measure in the sense that f∗() is a Gaussian measure on R for every linear functional f ∈ B∗, f ≠ 0.
- Hence, is strictly positive and locally finite.
- The behaviour of under translation is described by the Cameron–Martin theorem.
- Given two abstract Wiener spaces i1 : H1 → B1 and i2 : H2 → B2, one can show that . In full:
- i.e., the abstract Wiener measure on the Cartesian product B1 × B2 is the product of the abstract Wiener measures on the two factors B1 and B2.
- If H (and B) are infinite dimensional, then the image of H has measure zero. This fact is a consequence of Kolmogorov's zero–one law.
Example: Classical Wiener space
The prototypical example of an abstract Wiener space is the space of continuous paths, and is known as classical Wiener space. This is the abstract Wiener space in which is given by
with inner product given by
and is the space of continuous maps of into starting at 0, with the uniform norm. In this case, the Gaussian measure is the Wiener measure, which describes Brownian motion in , starting from the origin.
The general result that forms a set of measure zero with respect to in this case reflects the roughness of the typical Brownian path, which is known to be nowhere differentiable. This contrasts with the assumed differentiability of the paths in .
- 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.
- Kuo, Hui-Hsiung (1975). Gaussian measures in Banach spaces. Berlin–New York: Springer. p. 232. ISBN 978-1419645808.