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Feb 19, 2020 at 18:45 comment added Abdelmalek Abdesselam although one could, one does not construct an infinite volume Gaussian measure using (2) but directly. (2) is used for constructing more physically interesting non-Gaussian measures.
Feb 19, 2020 at 16:49 comment added JustWannaKnow That's a very nice comment. The point is: how to systematically define what we mean by a infinite volume limit, in order to study the system in the thermodynamic limit? The Gaussian measure $\mu$ on $\mathbb{R}^{\mathbb{Z}^{d}}$ constructed using Kolmogorov's Theorem is a legit infinite volume limit but, in general, the infinite volume measure is assumed to be that satisfying (2). It then seems that the limit is taken conveniently, depending on the model rather than a systematic approach.
Feb 19, 2020 at 14:58 history answered Abdelmalek Abdesselam CC BY-SA 4.0