# Abstract Wiener space

An abstract Wiener space is a mathematical object in measure theory, used to construct a "decent" (strictly positive and locally finite) measure on an infinite-dimensional vector space. It is named after the American mathematician Norbert Wiener. Wiener's original construction only applied to the space of real-valued continuous paths on the unit interval, known as classical Wiener space; Leonard Gross provided the generalization to the case of a general separable Banach space.

The structure theorem for Gaussian measures states that all Gaussian measures can be represented by the abstract Wiener space construction.

## Definition

Let H be a separable Hilbert space. Let E be a separable Banach space. Let i : H  E be an injective continuous linear map with dense image (i.e., the closure of i(H) in E is E itself) that radonifies the canonical Gaussian cylinder set measure γH on H. Then the triple (i, H, E) (or simply i : H  E) is called an abstract Wiener space. The measure γ induced on E is called the abstract Wiener measure of i : H  E.

The Hilbert space H is sometimes called the Cameron–Martin space or reproducing kernel Hilbert space.

Some sources (e.g. Bell (2006)) consider H to be a densely embedded Hilbert subspace of the Banach space E, with i simply the inclusion of H into E. There is no loss of generality in taking this "embedded spaces" viewpoint instead of the "different spaces" viewpoint given above.

## Properties

• γ is a Borel measure: it is defined on the Borel σ-algebra generated by the open subsets of E.
• γ is a Gaussian measure in the sense that f(γ) is a Gaussian measure on R for every linear functional f  E, f  0.
• Hence, γ is strictly positive and locally finite.
• If E is a finite-dimensional Banach space, we may take E to be isomorphic to Rn for some n  N. Setting H = Rn and i : H  E to be the canonical isomorphism gives the abstract Wiener measure γ = γn, the standard Gaussian measure on Rn.
• The behaviour of γ under translation is described by the Cameron–Martin theorem.
• Given two abstract Wiener spaces i1 : H1  E1 and i2 : H2  E2, one can show that γ12 = γ1  γ2. In full:
${\displaystyle (i_{1}\times i_{2})_{*}(\gamma ^{H_{1}\times H_{2}})=(i_{1})_{*}\left(\gamma ^{H_{1}}\right)\otimes (i_{2})_{*}\left(\gamma ^{H_{2}}\right),}$
i.e., the abstract Wiener measure γ12 on the Cartesian product E1 × E2 is the product of the abstract Wiener measures on the two factors E1 and E2.

## Example: Classical Wiener space

Arguably the most frequently-used abstract Wiener space is the space of continuous paths, and is known as classical Wiener space. This is the abstract Wiener space with

${\displaystyle H:=L_{0}^{2,1}([0,T];\mathbb {R} ^{n}):=\{{\text{paths starting at 0 with first derivative}}\in L^{2}\}}$

with inner product

${\displaystyle \langle \sigma _{1},\sigma _{2}\rangle _{L_{0}^{2,1}}:=\int _{0}^{T}\langle {\dot {\sigma }}_{1}(t),{\dot {\sigma }}_{2}(t)\rangle _{\mathbb {R} ^{n}}\,\mathrm {d} t,}$

E = C0([0, T]; Rn) with norm

${\displaystyle \|\sigma \|_{C_{0}}:=\sup _{t\in [0,T]}\|\sigma (t)\|_{\mathbb {R} ^{n}},}$

and i : H  E the inclusion map. The measure γ is called classical Wiener measure or simply Wiener measure.