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I know that $k(x,y)=min(x,y)$ is the reproducing kernel of the Cameron Martin space of all i.i.d. RVs of Brownian motion at different times, with the $cov$ inner product.

What is the RKHS generated by $k(x,y)=min(f(x),f(y))$ for some $f$?

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i guess that change of variable of Ito integral should be involved –  Ohad Asor Dec 23 '12 at 12:07

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