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jzadeh
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One general construction can be found in Revuz and Yor "Continuous Martingales and Brownian Motion" for instance:

proposition (1.3)

Let $H$ be a separable real Hilbert space. There exist a probability space $\left( \Omega, \mathcal{F}, \mathbb{P} \right)$ and a family $X(h)$, $h \in H$ of randoomrandom variables on the space such that

i) the map $h \rightarrow X(h)$ is linear

ii) for each $h$ the random variable $X(h)$ is guassianGaussian centered and $\mathbb{E} [ X(h)^2] = ||h||_{H}^{2}$

Nualarts book "Malliavian Calculus" also starts with the notion of isonormal Gaussian process which is general as well as Adler's books on Gaussian processes.

Alternatively you could look at one of T. Hida's books on White noise analysis for a construction based on the bochner-milnos theorem and Nuclear spaces.

Sorry none of these have a geometric perspective that I am aware of...

One general construction can be found in Revuz and Yor "Continuous Martingales and Brownian Motion" for instance:

proposition (1.3)

Let $H$ be a separable real Hilbert space. There exist a probability space $\left( \Omega, \mathcal{F}, \mathbb{P} \right)$ and a family $X(h)$, $h \in H$ of randoom variables on the space such that

i) the map $h \rightarrow X(h)$ is linear

ii) for each $h$ the random variable $X(h)$ is guassian centered and $\mathbb{E} [ X(h)^2] = ||h||_{H}^{2}$

Nualarts book "Malliavian Calculus" also starts with the notion of isonormal Gaussian process which is general as well as Adler's books on Gaussian processes.

Alternatively you could look at one of T. Hida's books on White noise analysis for a construction based on the bochner-milnos theorem and Nuclear spaces.

One general construction can be found in Revuz and Yor "Continuous Martingales and Brownian Motion" for instance:

proposition (1.3)

Let $H$ be a separable real Hilbert space. There exist a probability space $\left( \Omega, \mathcal{F}, \mathbb{P} \right)$ and a family $X(h)$, $h \in H$ of random variables on the space such that

i) the map $h \rightarrow X(h)$ is linear

ii) for each $h$ the random variable $X(h)$ is Gaussian centered and $\mathbb{E} [ X(h)^2] = ||h||_{H}^{2}$

Nualarts book "Malliavian Calculus" also starts with the notion of isonormal Gaussian process which is general as well as Adler's books on Gaussian processes.

Alternatively you could look at one of T. Hida's books on White noise analysis for a construction based on the bochner-milnos theorem and Nuclear spaces.

Sorry none of these have a geometric perspective that I am aware of...

Source Link
jzadeh
  • 265
  • 1
  • 11

One general construction can be found in Revuz and Yor "Continuous Martingales and Brownian Motion" for instance:

proposition (1.3)

Let $H$ be a separable real Hilbert space. There exist a probability space $\left( \Omega, \mathcal{F}, \mathbb{P} \right)$ and a family $X(h)$, $h \in H$ of randoom variables on the space such that

i) the map $h \rightarrow X(h)$ is linear

ii) for each $h$ the random variable $X(h)$ is guassian centered and $\mathbb{E} [ X(h)^2] = ||h||_{H}^{2}$

Nualarts book "Malliavian Calculus" also starts with the notion of isonormal Gaussian process which is general as well as Adler's books on Gaussian processes.

Alternatively you could look at one of T. Hida's books on White noise analysis for a construction based on the bochner-milnos theorem and Nuclear spaces.