I'm a newbie and may be this question is bit simple for you but pardon me if it's too simple and provide me some references.

What is the eigenfunction of a multivariate gaussian kernel:
\begin{equation}
f(x,y) = \exp(-\frac{||x - y||^2}{2\sigma^2})
\end{equation}

I am interested in the eigenfunctions with respect to L2 norm:
\begin{equation}
\int  f(x, y) v_i(y) dy = \lambda_i v_i(x)
\end{equation}
and also with respect to a gaussian probability distribution $p(x)$:
\begin{equation}
\int  f(x, y) v_i(y) p(y) dy = \lambda_i v_i(x)
\end{equation}
I am aware of the numerical approximation to the problem like Nystrom method. However, it should be possible to find a closed form solution when the probability distribution is also gaussian.