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Gauss Measure


The standard Gauss measure of a finite dimensional real Hilbert space H with norm ||·||_H has the Borel measure

 mu_H(dh)=(sqrt(2pi))^(-dim(H))exp(1/2||h||_H^2)lambda_H(dh),

where lambda_H is the Lebesgue measure on H.


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Cite this as:

Weisstein, Eric W. "Gauss Measure." From MathWorld--A Wolfram Web Resource. https://mathworld.wolfram.com/GaussMeasure.html

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