Skip to content

Some remarks about the positivity of random variables on a Gaussian probability space

D. Feyel, A. S. Ustunel

math.PRarXiv:math/0409268

Abstract

Let (W,H,μ) be an abstract Wiener space and L be a probability density of class LlogL. Using the measure transportation of Monge-Kantorovitch, we prove that the kernel of the projection of L on the second Wiener chaos defines an (Hilbert-Schmidt) operator which is lower bounded by another Hilbert-Schmidt operator.

Create a lesson