What is known about the Gaussian measure of the unit ball in a Hilbert Space?

You can't talk about "the" Gaussian measure on an infinite-dimensional Hilbert space, for the same reason that you can't talk about a uniform probability distribution over all integers. It doesn't exist; see Richard's answer. However, there are a lot of non-uniform Gaussian measures on infinite dimensional Hilbert spaces.

Consider the measure on $\mathbb{R}^\infty$ where the $j$th coordinate is a Gaussian with mean 0 and variance $\sigma_j^2$, where $\sum_{j=1}^{\infty} \sigma_j^2 < \infty$ (and different coordinates are independent). This is almost surely bounded in the $\ell_2$ metric, and any projection onto a finite-dimensional space has a Gaussian distribution. The squared length of a vector drawn from this measure is a sum of squares of Gaussians, and so follows some kind of generalized $\chi$-square distribution. If I knew more about generalized $\chi$-square distributions, I might be able to tell you what the measure of the unit ball was.

This kind of Gaussian distribution is very important in quantum optics. In fact, in quantum optics, a thermal state is Gaussian, so "the" Gaussian measure actually makes some sense.


There is no Gaussian measure on an infinite dimensional Hilbert space, or rather the Gaussian measure is identically zero. (Proof: If the Gaussian measure of a ball of radius r on a 1-dimensional Hilbert space is c<1, then that of a ball in n dimensional is less than cn, so in infinite dimensions any ball has measure 0, so the measure of the whole space is 0.) You can put a non-zero Gaussian measure on a larger space (see http://en.wikipedia.org/wiki/Rigged_Hilbert_space) and the unit ball of Hilbert space is a subset of this, but has measure 0 by the above argument.


In the book Kazhdan’s Property (T) (Appendix A7) by Bekka, de la Harpe and Valette the symmetric Fock space on a Hilbert space is $H$ studied as the analogue of a space of measurable functions on a Hilbert space $H$. This is called the Gaussian construction and quite important if one wants to pass from unitary representations of a group $G$ to actions of $G$ on a probability measure space. This is probably not quite what you want, but serves as a suitable replacement of the Gaussian measure (on a finite-dimensional Hilbert space) for many purposes.

In case $H$ is finite-dimensional, it precisely corresponds to the study of the Gaussian measure on $H$. Here, the correspondence is clear: If $G$ acts by unitary operators on $H$, then it preserves the Gaussian measure $\mu$ on $H$ and hence, there is an associated action on the probability space $(H,\mu)$.