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Exponential moment of a Gaussian linear functional

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Gaussian process Gaussian random field
Created 2026-10-05 Updated 2026-10-06  0 By others on same topic  0 Discussions Create my own version
If a linear functional Z=∫a(r)V(r)dr of a real Gaussian random field exists in mean square, it is a Gaussian random variable. Completing the square in its density gives
EeZ=exp(EZ+21​VarZ),VarZ=∬a(r)a(r′)Cov[V(r),V(r′)]drdr′.
(1)
For a complex linear functional ϕ, apply this to Z=2Reϕ; then 21​VarZ=E∣ϕ−Eϕ∣2+ReE(ϕ−Eϕ)2.

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 Incoming links (3)

  • Gaussian intensity in the first Rytov approximation
  • Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 69 / 3 / d / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2019 / iii / Paper 335 / 2 / iii / Solution

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