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Isonormal Gaussian process

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Gaussian process
2026-09-28  0 By others on same topic  0 Discussions Create my own version
An isonormal Gaussian process over a real Hilbert space H is a centered Gaussian process (W(h))h∈H​ satisfying
E[W(f)W(g)]=⟨f,g⟩H​.
(1)
It turns the geometry of H into the covariance structure of a Gaussian family.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 203 / 4 / a / iii / Solution

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