Mathematics – Probability
Scientific paper
2010-03-04
Mathematics
Probability
Scientific paper
The goal of this paper is to understand the conditional law of a stochastic process once it has been observed over an interval. To make this precise, we introduce the notion of a continuous disintegration: a regular conditional probability measure which varies continuously in the conditioned parameter. The conditioning is infinite-dimensional in character, which leads us to consider the general case of probability measures in Banach spaces. Our main result is that for a certain quantity $M$ based on the covariance structure, the finiteness of M is a necessary and sufficient condition for a Gaussian measure to have a continuous disintegration. The condition is quite reasonable: for the familiar case of stationary processes, M = 1.
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