Equivalent Gaussian Measures Whose R-N Derivative is the Exponential of a Diagonal Form.
Abstract
A simple necessary and sufficient condition, on a trace-class kernel K, is given in order for the existence of a measurable (relative to the completed product sigma-algebra) Gaussian process with covariance K. Using this result, sufficient conditions are given on the means and the covariances (relative to two equivalent Gaussian measures P and P sub lambda) of a process X so that the Radon-Nikodym (R-N) derivative dp sub lambda/dP is the exponential of the diagonal form in X. Analogues of the last two results in the set up of Hilbert space are also proved. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1979
- Accession Number
- ADA090787
Entities
People
- Balram S. Rajput
- Dong M. Chung
Organizations
- University of Tennessee