Analog of heat equation for Gaussian measure of a ball in Hilbert space
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Let \(\mu\) be a Gaussian measure on a separable Hilbert space H with mean vector a and covariance operator T. If g(a,T) is the value of \(\mu\) on a fixed open ball in H, then it is well known that g(,T) is Gateaux differentiable with respect to a. The author proves that g(a,) is also differentiable with respect to all covariance operators T on H and moreover, that the function g(a,T) satisfies the heat equation in a sense which is specified in the paper.
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Cites work
- Gaussian Measure of Translated Balls in a Banach Space
- Gaussian measures in Banach spaces
- scientific article; zbMATH DE number 3834323 (Why is no real title available?)
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- scientific article; zbMATH DE number 3209538 (Why is no real title available?)
- scientific article; zbMATH DE number 3280851 (Why is no real title available?)
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