Extension du théorème de Cameron--Martin aux translations aléatoires
Fernique, Xavier
Ann. Probab., Tome 31 (2003) no. 1, p. 1296-1304 / Harvested from Project Euclid
Let G be a Gaussian vector taking its values in a separable Fréchet space E. We denote by $\gamma$ its law and by $(H,\Vert\!\cdot\!\Vert)$ its reproducing Hilbert space. Moreover, let X be an E-valued random vector of law $\mu$. In the first section, we prove that if $\mu$ is absolutely continuous relative to $\gamma$, then there exist necessarily a Gaussian vector $G'$ of law $\gamma$ and an H-valued random vector Z such that $G' + Z$ has the law $\mu$ of X. This fact is a direct consequence of concentration properties of Gaussian vectors and, in some sense, it is an unexpected achievement of a part of the Cameron--Martin theorem. ¶ In the second section, using the classical Cameron--Martin theorem and rotation invariance properties of Gaussian probabilities, we show that, in many situations, such a condition is sufficient for $\mu$ being absolutely continuous relative to $\gamma$.
Publié le : 2003-07-14
Classification:  Théorème de Cameron--Martin,  probabilité gaussienne,  absolue continuité,  Cameron--Martin theorem,  Gaussian probability,  absolute continuity,  60G15,  60G30,  28D05
@article{1055425780,
     author = {Fernique, Xavier},
     title = {Extension du th\'eor\`eme de Cameron--Martin aux translations al\'eatoires},
     journal = {Ann. Probab.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 1296-1304},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/1055425780}
}
Fernique, Xavier. Extension du théorème de Cameron--Martin aux translations aléatoires. Ann. Probab., Tome 31 (2003) no. 1, pp.  1296-1304. http://gdmltest.u-ga.fr/item/1055425780/