Hello,
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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1$\begingroup$ i guess that change of variable of Ito integral should be involved $\endgroup$– Ohad AsorCommented Dec 23, 2012 at 12:07
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