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INDEX abstract Wiener space 54,63,86,153 Brownian motion, 108,214 characteristic functional, 19 classical Wiener space, 63 compact operator, 7 conditional Banach space, 199 cone, 171 covariance function, 128 covariance operator, 15 cylinder function, 54 cylinder set, 36,54,63,92 cylinder set measure, 92 degenerator operator, 13 dichotomy theorem, i10,125,127 divergence, 213 divergence theorem, 208,213 Donsker, M.D., 51 Donsker's delta function, 50 Donsker's flat integral, 112 equivalence and orthogonality, 110,125,127 Feldman-Hajek's theorem, 118 Fernique, M.X., 159,216 Fr~chet differentiability, 145,168 Gauss measure, 54,74 Gaussian measure, 1,28,128,153 generalized Laplacian, 171 Goodman, V., 83,208 Green measure, 165,184 Gross, L., 63,109,151,216,217 Gross-Sazonov's theorem, 102 H-C 1 boundary, 209 H-C 1 partition, 208 H-C 1 surface, 208 H-differentiability, 145,168 Hellinger integral, 116 Helms' theorem, 130 Hilbert-Schmidt operator, 2,3 Hilbert-Schmidt type n-linear map, 103 intergration by parts, 149 Ito's integral, 108 Ito's lemma, 197,198,200 J-functional, 129 Kac's formula, 48 Kakutani's theorem, 116 Kallianpur, G., 157 Kuelbs, J., 153 Kuo, H.-H., 85
224 Laplacian, 168 L~vy's continuity theorem, 98,99,109 linear transformation of Wiener measure, 141 Lions, J.L., 51 martingale, 130 mean, 18 measurable semi-norm, 59 nonanticipating, 189 normal (outward), 212 normal distribution, 56,93 normal projection, 211 Piech, M. Ann, 187 polar decomposition, 8 positive definite functional, 19 potential, 165,184 potential theory, 165 Prohorov's metric, 97 Prohorov's theorem, 20,29,97 quasi-invariance, 151 Riemann-Wiener manifold, 214 simple nonanticipating process, 192 Skorokhod, A.V., 163,216 stochastic integral, 87,188 stochastic integral equatior 202 strong regularity, 171 surface measure, 212 test operator, 174 m-topology, 94,99,102,109 trace class operator, 2,9 trace class type bilinear map, 104,199 translation of Wiener measure, 113,146 uniformly~m-continuous near zero, 109 Varadhan, S.R.S., 110 weak convergence, 97 weak distribution, 92 Wiener, N., 43 Wiener measure, 36,74 Wiener process, 159,170,189 rotation invariance, 33 S-operator, 16 Sazonov, V.V., 102,109 Segal, I.E.,56,92 Shepp, L.A., 110,151