Equivalence of measures for some class of Gaussian random fields
We consider two Gaussian measures P1 and P2 on (C(G), ) with zero expectations and covariance functions R1(x, y) and R2(x, y) respectively, where R[nu](x, y) is the Green's function of the Dirichlet problem for some uniformly strongly elliptic differential operator A([nu]) of order 2m, m >= [d/2] + 1, on a bounded domain G in d ([nu] = 1, 2). It is shown that if the order of A(2) - A(1) is at most 2m - [d/2] - 1, then P1 and P2 are equivalent, while if the order is greater than 2m - [d/2] - 1, then P1 and P2 are not always equivalent.
| Year of publication: |
1976
|
|---|---|
| Authors: | Inoue, K. |
| Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 6.1976, 2, p. 295-308
|
| Publisher: |
Elsevier |
| Keywords: | Equivalence of Gaussian measures Green's function of the Dirichlet problem |
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