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Hilbert-space Gaussian series

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Gaussian process Gaussian measure Covariance operator of a Gaussian measure
2026-09-24  0 By others on same topic  0 Discussions Create my own version
If Kej​=λj​ej​ with λj​≥0 and ∑j​λj​<∞, then
U=m+∑j​λj​​ξj​ej​
(1)
converges in mean square and almost surely in the Hilbert space, and has Gaussian law N(m,K).

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  1. Covariance operator of a Gaussian measure
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  • Past exam of the mathematics course of the University of Cambridge / 2025 / iii / Paper 326 / 2 / d / Solution

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