Sazonov's theorem
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In mathematics, Sazonov's theorem is a theorem in functional analysis. It states that a bounded linear operator between two Hilbert spaces is γ-radonifying if it is Hilbert-Schmidt. The result is also important in the study of stochastic processes and the Malliavin calculus, since results concerning probability measures on infinite-dimensional spaces are of central importance in these fields. Sazonov's theorem also has a converse: if the map is not Hilbert-Schmidt, then it is not γ-radonifying.
[edit] Statement of the theorem
Let G and H be two Hilbert spaces and let T : G → H be a bounded operator from G to H. Recall that T is said to be γ-radonifying if the push forward of the canonical Gaussian cylinder set measure on G is a bona fide measure on H. Recall also that T is said to be Hilbert-Schmidt if there is an orthonormal basis { ei | i ∈ I } of G such that
Then Sazonov's theorem is that T is γ-radonifying if it is Hilbert-Schmidt.
The proof uses Prokhorov's theorem.
[edit] Remarks
The canonical Gaussian cylinder set measure on an infinite-dimensional Hilbert space can never be a bona fide measure; equivalently, the identity function on such a space cannot be γ-radonifying.
