Structure theorem for Gaussian measures

In mathematics, the structure theorem for Gaussian measures shows that the abstract Wiener space construction is essentially the only way to obtain a strictly positive Gaussian measure on a separable Banach space. It was proved in the 1970s by Kallianpur–Sato–Stefan and Dudley–Feldman–le Cam.

There is the earlier result due to H. Satô (1969) which proves that "any Gaussian measure on a separable Banach space is an abstract Wiener measure in the sense of L. Gross". The result by Dudley et al. generalizes this result to the setting of Gaussian measures on a general topological vector space.

Let γ be a strictly positive Gaussian measure on a separable Banach space (E, || ||). Then there exists a separable Hilbert space (H, 〈 , 〉) and a map i : H → E such that i : H → E is an abstract Wiener space with γ = i_∗(γ^H), where γ^H is the canonical Gaussian cylinder set measure on H.

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