Other Mathematics Commons^™

On The Equivalence Of Probability Spaces, Daniel Alpay, Palle Jorgensen, David Levanony

Mathematics, Physics, and Computer Science Faculty Articles and Research

For a general class of Gaussian processes W, indexed by a sigma-algebra F of a

general measure space (M,F, _), we give necessary and sufficient conditions for the validity

of a quadratic variation representation for such Gaussian processes, thus recovering _(A),

for A 2 F, as a quadratic variation of W over A. We further provide a harmonic analysis

representation for this general class of processes. We apply these two results to: (i) a computation

of generalized Ito-integrals; and (ii) a proof of an explicit, and measure-theoretic

equivalence formula, realizing an equivalence between the two approaches to Gaussian processes,

one …