Extension du théorème de Cameron--Martin aux translations aléatoires

Let G be a Gaussian vector taking its values in a separable Fréchet space E. We denote by $\gamma$ its law and by $(H,\Vert!\cdot!\Vert)$ its reproducing Hilbert space. Moreover, let X be an E-valued random vector of law $\mu$. In the first section, we prove that if $\mu$ is absolutely continuous relative to $\gamma$, then there exist necessarily a Gaussian vector $G'$ of law $\gamma$ and an H-valued random vector Z such that $G' + Z$ has the law $\mu$ of X. This fact is a direct consequence of concentration properties of Gaussian vectors and, in some sense, it is an unexpected achievement of a part of the Cameron--Martin theorem. In the second section, using the classical Cameron--Martin theorem and rotation invariance properties of Gaussian probabilities, we show that, in many situations, such a condition is sufficient for $\mu$ being absolutely continuous relative to $\gamma$.

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Field Value
Source ISSN: 0091-1798
Author Fernique, Xavier
Maintainer CCSD
Last Updated May 8, 2026, 18:10 (UTC)
Created May 8, 2026, 18:10 (UTC)
Identifier hal-00089066
Language fr
contributor Institut de Recherche Mathématique Avancée (IRMA) ; Université Louis Pasteur - Strasbourg I-Centre National de la Recherche Scientifique (CNRS)
creator Fernique, Xavier
date 2003-05-08T00:00:00
harvest_object_id 511e32b9-e10f-43f7-9ab4-0071db6df5df
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-12-23T00:00:00
relation info:eu-repo/semantics/altIdentifier/doi/10.1214/aop/1055425780
set_spec type:ART