All Questions

In the theorem below $P_D$ means the heat kernel in the open $D \subset \mathbb{R}^m$ and $P_m$ is the heat kernel in whole $\mathbb{R}^m.$ I know absolutely nothing about what Brownian bridges are, ...

Suppose that X is the subspace of the set of probability measures on the classical Wiener space $C[0,T]$, for some $T>0$, comprised of Gaussian measures. In the finite-dimensional setting, the ...

I know that the Wiener measure for the Brownian motion $\{B_t\}_{t\ge 0}$ on the probability space $(\Omega, \mathscr{F},P)$ can be defined as $\mu=P\circ B^{-1}$ acting on the sigma-algebra generated ...

I would be interested in references on the topic of distances between probability measures that are singular with one another and not reduced to trivial ones. For example from here we know that total ...