Cameron–Martin theorem

In mathematics, the Cameron–Martin theorem or Cameron–Martin formula (named after Robert

Horton Cameron and W. T. Martin) is a theorem of measure theory that describes how abstract Wiener
measure changes under translation by certain elements of the Cameron–Martin Hilbert space.

Motivation
The standard Gaussian measure on -dimensional Euclidean space is not translation-invariant. (In
fact, there is a unique translation invariant Radon measure up to scale by Haar's theorem: the -dimensional
Lebesgue measure, denoted here .) Instead, a measurable subset has Gaussian measure

Here refers to the standard Euclidean dot product in . The Gaussian measure of the translation
of by a vector is

So under translation through , the Gaussian measure scales by the distribution function appearing in the
last display:

The measure that associates to the set the number is the pushforward measure, denoted
. Here refers to the translation map: . The above calculation
shows that the Radon–Nikodym derivative of the pushforward measure with respect to the original
Gaussian measure is given by

The abstract Wiener measure on a separable Banach space , where is an abstract Wiener
space, is also a "Gaussian measure" in a suitable sense. How does it change under translation? It turns out
that a similar formula to the one above holds if we consider only translations by elements of the dense
subspace .

Statement of the theorem

Let be an abstract Wiener space with abstract Wiener measure . For
, define by . Then is equivalent to with Radon–
Nikodym derivative

where

denotes the Paley–Wiener integral.

The Cameron–Martin formula is valid only for translations by elements of the dense subspace ,
called Cameron–Martin space, and not by arbitrary elements of . If the Cameron–Martin formula did
hold for arbitrary translations, it would contradict the following result:

If is a separable Banach space and is a locally finite Borel measure on that is

equivalent to its own push forward under any translation, then either has finite
dimension or is the trivial (zero) measure. (See quasi-invariant measure.)

In fact, is quasi-invariant under translation by an element if and only if . Vectors in are

sometimes known as Cameron–Martin directions.

Integration by parts
The Cameron–Martin formula gives rise to an integration by parts formula on : if has
bounded Fréchet derivative , integrating the Cameron–Martin formula with
respect to Wiener measure on both sides gives

for any . Formally differentiating with respect to and evaluating at gives the integration by
parts formula

Comparison with the divergence theorem of vector calculus suggests

where is the constant "vector field" for all . The wish to consider more
general vector fields and to think of stochastic integrals as "divergences" leads to the study of stochastic
processes and the Malliavin calculus, and, in particular, the Clark–Ocone theorem and its associated
integration by parts formula.

An application
Using Cameron–Martin theorem one may establish (See Liptser and Shiryayev 1977, p.  280) that for a
symmetric non-negative definite matrix whose elements are continuous and satisfy the
condition

it holds for a −dimensional Wiener process that

where is a nonpositive definite matrix which is a unique solution of the matrix-valued Riccati
differential equation

See also
Girsanov theorem
Sazonov's theorem

References
Cameron, R. H.; Martin, W. T. (1944). "Transformations of Wiener Integrals under
Translations". Annals of Mathematics. 45 (2): 386–396. doi:10.2307/1969276 (https://doi.org/
10.2307%2F1969276). JSTOR 1969276 (https://www.jstor.org/stable/1969276).
Liptser, R. S.; Shiryayev, A. N. (1977). Statistics of Random Processes I: General Theory.
Springer-Verlag. ISBN 3-540-90226-0.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Cameron–Martin_theorem&oldid=1136988102"