 Cameron-Martin space of Wiener measure

ID: cameron-martin-space-of-wiener-measure

C_{0} ([0, T])

, the Cameron-Martin space consists of the absolutely continuous functions

h

with

h (0) = 0

and

h^{'} \in L^{2} [0, T]

. Its norm is

∥ h ∥_{H}^{2} = \int_{0}^{T} ∣ h^{'} (s) ∣^{2} d s .

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