This text provides a concise introduction, suitable for a one-semester special topicscourse, to the remarkable properties of Gaussian measures on both finite and infinitedimensional spaces. It begins with a brief resumé of probabilistic results in which Fourieranalysis plays an essential role, and those results are then applied to derive a few basicfacts about Gaussian measures on finite dimensional spaces. In anticipation of the analysisof Gaussian measures on infinite dimensional spaces, particular attention is given to thoseproperties of Gaussian measures that are dimension independent, and Gaussian processesare constructed. The rest of the book is devoted to the study of Gaussian measures onBanach spaces. The perspective adopted is the one introduced by I. Segal and developedby L. Gross in which the Hilbert structure underlying the measure is emphasized.The contents of this bookshould be accessible to either undergraduate or graduatestudents who are interested in probability theory and have a solid background in Lebesgueintegration theory and a familiarity with basic functional analysis. Although the focus ison Gaussian measures, the book introduces its readers to techniques and ideas that haveapplications in other contexts.

Text avoid heavy technical "machinery" common in the study of stochastic processes Rapid intro to several major areas of math, even outside of Gaussian Measure Theory Useful in a topics course and as reference in a less specialized course or in research

Autorentext

Daniel W. Stroock is Professor Emeritus of Mathematics at MIT. Professor Stroock's research interests focus on probability theory and stochastic processes. Stroock (with S. Varadhan) was awarded the Leroy P. Steele Prize for seminal contributions to research in stochastic equations. In 2007, Stroock received an Honorary Fellowship at Swansea University, Wales, and in 2004 selected to be Foreign Member of the Polish Academy of Arts and Sciences. Professor Stroock is a Fellow of the American Academy of Arts and Sciences (1991), and a Member of the National Academy of Sciences (1995). Professor Stroock has made many contributions to pedagogical literature, among these include: An Introduction to Markov Processes" (GTM 230), "Essentials of Integration Theory for Analysis" (GTM 262), "Multidimensional Diffusion Processes" (Classics in Mathematics).

Inhalt
Preface.- 1. Characteristic Functions.- 2. Gaussian Measures and Families.- 3. Gaussian Measures on a Banach Space.- 4. Further Properties and Examples of Abstract Wiener Spaces.- References.- Index.