scientific article; zbMATH DE number 1016546
This is a nice and carefully written book. As the author writes in the preface, the main purpose of the book is to present the contemporary state of the theory of Gaussian measures. Certainly, the most interesting part of the theory deals with distributions of Gaussian processes, i.e. with Gaussian measures on linear topological spaces. Almost all aspects of the theory are covered in the book. The only large section that the reviewer failed to find in the book is the characterization of Gaussian covariances in a Banach space. Although, conditions of sample continuity of Gaussian processes that are well represented in the book, can be regarded as a description of Gaussian covariances in the space of continuous functions, and therefore, in principle, in any separable Banach space due to universality of the space of continuous functions. Contents: Chapter 1. Finite-dimensional Gaussian distributions. Chapter 2. Infinite-dimensional Gaussian distributions. Chapter 3. Radon Gaussian measures. Chapter 4. Convexity of Gaussian measures. Chapter 5. Sobolev classes with respect to Gaussian measures. Chapter 6. Non-linear transformations of Gaussian measures. Chapter 7. Applications.
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