All Questions

For a centered Gaussian measure $\mu$ on a Hilbert space $X$, it is known that $$\int_X \|x\|^2 \mu(dx) = tr(Q)$$ where $Q$ is the covariance operator. Is there a similar version for Gaussian measures ...

Assume we have a Gaussian measure $\mu$ supported on a Banach space $X$. Can we always find a Hilbert space $H$ embedded in $X$ sch that $\mu$ is also supported on $H$?

Let $(W, \|\cdot\|_W)$ be a real separable Banach space equipped with a non-degenerate Gaussian Borel measure $\mu$. Let $H \subset W$ be the corresponding Cameron-Martin Hilbert space (also known as ...