Espaces de Sobolev gaussiens. (Gaussian Sobolev spaces) (Q1114902): Difference between revisions

Let \(\mu\) be a gaussian measure on a locally convex linear space E. We give a new point of view on the first Sobolev space W(E,\(\mu)\) built on E with respect to \(\mu\). The differential f' of \(f\in W(E,\mu)\) is a function of two variables (x,y)\(\in E\times E\), which is ``quasi-linear'' in the second variable. The differential of a stochastic integral is a stochastic integral on \(E\times E\) with respect to \(\mu\) \(\otimes \mu.\) The natural ``gaussian procapacity'' is a true capacity if E is a Banach or a Fréchet space or the weak dual of a separable Fréchet nuclear space. Any \(f\in W(E,\mu)\) is equal \(\mu\)-almost everywhere to a quasi- continuous function g, moreover any such g has for any Cameron-Martin direction the absolute continuity property in almost every line parallel to this direction.