Necessary and sufficient conditions of equivalence of probability measures corresponding to homogeneous random fields with spectral density (Q1280877): Difference between revisions

Let \(\mathcal A\) be a space of smooth functions on \(R^N\), and let \(P_1\), \(P_2\) be two probabilities on \((\Omega,\Sigma)\). Suppose that a real homogeneous field \(\xi=\{\xi (f)\colon f\in\mathcal A\}\) is Gaussian and mean zero with respect to both \(P_1\) and \(P_2\). Let \(f_1\) and \(f_2\) be the corresponding spectral densities of \(\xi\). For \(T\subset R^N\), let \(\Phi\) be the set of all infinitely differentiable functions with a compact support in \(T\), and let \(\Sigma_{\xi}^{\Phi}\subset\Sigma\) be the \(\sigma\)-algebra generated by values of \(\xi\) on \(\Phi\). For \(j=1,2\), let \(P_j^{\Phi}\) be the restriction of \(P_j\) to \(\Sigma_{\xi}^{\Phi}\). Necessary and sufficient conditions for equivalence of \(P_1^{\Phi}\) and \(P_2^{\Phi}\) are proved in terms of the spectral densities \(f_1\) and \(f_2\).