Brownian Motion and Stochastic Calculus

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/Part 1: Stochastic Processes/Chapter 2: Diffusion Operators/Section 2.3: The Heat Semigroup

Theorem 2.3.2 (Spectral Theorem I, [The Spectral Theorem, Con85]).label Let $H$ be a Hilbert space and $T$ be a normal operator, then there exists a unique spectral measure $P: \cb_{\complex} \to L(H; H)$ such that:

  1. (1)

    $T = \int z P(dz)$.

  2. (2)

    The mapping $f \mapsto \int f(z) P(dz)$ is a $*$-homomorphism.

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Brownian Motion and Stochastic Calculus

Bibliography
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