Approximative limits on the Wiener space
Let \((W,H,\mathbb{P})\) be the Wiener space over \(\mathbb{R}^d\). L. Gross defined a semi-norm \(N\) on \(H\) as measurable when there exists a finite random variable \(\widetilde N\) such that \(N(Q_n(w))\) goes to \(\widetilde N(w)\) in probability, for any sequence \(Q_n\) of finite rank projection operators in \(H\) which strongly increases to identity. Fix such \(N\), and for any \(\eta> 0\), denote by \(\mathbb{P}^N_\eta\) the Wiener measure \(\mathbb{P}\) conditioned by the event \(\{\widetilde N<\eta\}\) (which is known not to be negligible). To \(f\) in \(H\odot H\), associate the Hilbert-Schmidt symmetric operator \(K_f\) in \(H\), defined by: \(\langle K_f(h_1),h_2\rangle_H= \langle f,h_1\otimes h_2\rangle_{H\otimes H}\), and assume \(K_f\) to be of trace class. Then the Ogawa integral of \(f\) is \[ S(f)(w):= 2\int_{0< s< t< 1} f(s,t) dw_s dw_t+ \text{trace}(K_f). \] The author proved precedently a decorrelation inequality, which can be expressed in the present setting by \(\mathbb{P}^N_\eta(|S(f)|> \varepsilon)\leq \mathbb{P}(|S(f)|> \varepsilon)\). Using this, he proves the main result of the present article: \[ \lim_{\eta\to 0} \mathbb{E}^N_\eta(\exp[S(f)])= 1. \] Setting \(N_K(h):= \langle K_f(h), h\rangle^{1/2}\), he also proves that \(\lim_{\eta\to 0} \mathbb{E}^{N_K}_\eta(\exp[\widetilde N^2])= 1\).
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