Abstract Wiener space


An abstract Wiener space is a mathematical object in measure theory, used to construct a "decent" 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.

Motivation

Let be a real Hilbert space, assumed to be infinite dimensional and separable. In the physics literature, one frequently encounters integrals of the form
where is supposed to be a normalization constant and where is supposed to be the non-existent Lebesgue measure on. Such integrals arise, notably, in the context of the Euclidean path-integral formulation of quantum field theory. At a mathematical level, such an integral cannot be interpreted as integration against a measure on the original Hilbert space. On the other hand, suppose is a Banach space that contains as a dense subspace. If is "sufficiently larger" than, then the above integral can be interpreted as integration against a well-defined measure on. In that case, the pair is referred to as an abstract Wiener space.
The prototypical example is the classical Wiener space, in which is the Hilbert space of real-valued functions on an interval having one derivative in and satisfying, with the norm being given by
In that case, may be taken to the Banach space of continuous functions on with the supremum norm. In this case, the measure on is the Wiener measure describing Brownian motion starting at the origin. The original subspace is called the Cameron–Martin space, which forms a set of measure zero with respect to the Wiener measure.
What the preceding example means is that we have a formal expression for the Wiener measure given by
Although this formal expression suggests that the Wiener measure should live on the space of paths for which, this is not actually the case.
Gross's abstract Wiener space construction abstracts the situation for the classical Wiener space and provides a necessary and sufficient condition for the Gaussian measure to exist on. Although the Gaussian measure lives on rather than, it is the geometry of rather than that controls the properties of. As Gross himself puts it, "However, it only became apparent with the work of I.E. Segal dealing with the normal distribution on a real Hilbert space, that the role of the Hilbert space was indeed central, and that in so far as analysis on is concerned, the role of itself was auxiliary for many of Cameron and Martin's theorems, and in some instances even unnecessary." One of the appealing features of Gross's abstract Wiener space construction is that it takes as the starting point and treats as an auxiliary object.
Although the formal expressions for appearing earlier in this section are purely formal, physics-style expressions, they are very useful in helping to understand properties of. Notably, one can easily use these expressions to derive the formula for the density of the translated measure relative to, for.

Definition

Let be a Hilbert space defined over the real numbers, assumed to be infinite dimensional and separable. A cylinder set in is a set defined in terms of the values of a finite collection of linear functionals on. Specifically, suppose are continuous linear functionals on and is a Borel set in. Then we can consider the set
Any set of this type is called a cylinder set. The set of cylinder sets forms an algebra of sets in but it is not a -algebra.
There is a natural way of defining a "measure" on cylinder sets, as follows. By the Riesz theorem, the linear functionals are given as the inner product with vectors in. In light of the Gram–Schmidt procedure, it is harmless to assume that are orthonormal. In that case, we can associate to the above-defined cylinder set the measure of with respect to the standard Gaussian measure on. That is, we define
where is the standard Lebesgue measure on. Because of the product structure of the standard Gaussian measure on, it is not hard to show that is well defined. That is, although the same set can be represented as a cylinder set in more than one way, the value of is always the same.
The set functional is called the standard Gaussian cylinder set measure on. Assuming that is infinite dimensional, does not extend to a countably additive measure on the -algebra generated by the collection of cylinder sets in.
Now suppose that is a separable Banach space and that is an injective continuous linear map whose image is dense in. It is then harmless to identify with its image inside and thus regard as a dense subset of. We may then construct a cylinder set measure on by defining the measure of a cylinder set to be the previously defined cylinder set measure of, which is a cylinder set in.
The idea of the abstract Wiener space construction is that if is enough bigger than, then the cylinder set measure on, unlike the cylinder set measure on, will extend to a countably additive measure on the generated -algebra. The original paper of Gross gives a necessary and sufficient condition on for this to be the case. The measure on is called a Gaussian measure and the subspace is called the Cameron–Martin space. It is important to emphasize that forms a set of measure zero inside, emphasizing that the Gaussian measure lives only on and not on.
The upshot of this whole discussion is that Gaussian integrals of the sort described in the motivation section do have a rigorous mathematical interpretation, but they do not live on the space whose norm occurs in the exponent of the formal expression. Rather, they live on some larger space.

Properties

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
with inner product
B = C0 with norm
and i : H → B the inclusion map. The measure is called classical Wiener measure or simply Wiener measure.