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Iosif Pinelis
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The Wiener measure $w$ is the distribution of the Wiener process/random function $W$ on $C[0,1]$; that is, $$P(W\in A)=w(A)$$ for all Borel sets $A\subseteq C[0,1]$. Here "Borel sets" can be replaced by "open sets" or "closed sets".

Equivalently, $$Ef(W)=\int_{C[0,1]}f\,dw$$ for all (say) nonnegative Borel-measurable functions $f\colon C[0,1]\to\mathbb R$. Here "nonnegative Borel-measurable" can be replaced by (say) "bounded continuous".

The Wiener measure $w$ is the distribution of the Wiener process $W$ on $C[0,1]$; that is, $$P(W\in A)=w(A)$$ for all Borel sets $A\subseteq C[0,1]$. Here "Borel sets" can be replaced by "open sets" or "closed sets".

Equivalently, $$Ef(W)=\int_{C[0,1]}f\,dw$$ for all (say) nonnegative Borel-measurable functions $f\colon C[0,1]\to\mathbb R$.

The Wiener measure $w$ is the distribution of the Wiener process/random function $W$ on $C[0,1]$; that is, $$P(W\in A)=w(A)$$ for all Borel sets $A\subseteq C[0,1]$. Here "Borel sets" can be replaced by "open sets" or "closed sets".

Equivalently, $$Ef(W)=\int_{C[0,1]}f\,dw$$ for all (say) nonnegative Borel-measurable functions $f\colon C[0,1]\to\mathbb R$. Here "nonnegative Borel-measurable" can be replaced by (say) "bounded continuous".

Source Link
Iosif Pinelis
  • 127.7k
  • 8
  • 107
  • 229

The Wiener measure $w$ is the distribution of the Wiener process $W$ on $C[0,1]$; that is, $$P(W\in A)=w(A)$$ for all Borel sets $A\subseteq C[0,1]$. Here "Borel sets" can be replaced by "open sets" or "closed sets".

Equivalently, $$Ef(W)=\int_{C[0,1]}f\,dw$$ for all (say) nonnegative Borel-measurable functions $f\colon C[0,1]\to\mathbb R$.