Continuous factorizations of covariance operators and Gaussian processes

DOI10.4064/SM-85-1-91-106MaRDI QIDQ3756806zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 1986

Published in Studia Mathematica (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/218760

zbMATH Keywords

Gaussian processGaussian measurecovariance operatorfactorization through a Hilbert spaceuniversal mapprobability theory on Banach spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Measures and integration on abstract linear spaces (46G12) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10)

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Cited in

(9)

• Decomposition of Gaussian processes, and factorization of positive definite kernels
• Weak limits and integrals of Gaussian covariances in Banach spaces
• On the martingale problem for Banach space valued stochastic differential equations
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• Operator-valued Gaussian processes and their covariance kernels
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• Covariance factorisation and abstract representation of generalised random fields
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• A generalization of Pisier homogeneous Banach algebra

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