140
II.
2) Analogue and
non
separable,
Let
X =
{Xt,
t E
Rl}
be
a
system
i.i.d.
ordinary
random
variables, each of
which is
subject
to
the
standard
Gaussian
distribution
N(O, 1).
Then,
the
probability
distribution
v = IItERlLt, where
ILt
is
the
distribution
N(O,
1).
Proposition
2.2.
The probability measure space (RR,
IItB
t
,
v)
is
not
an
abstract Lebesgue space.
With
this
property
we
see
that
the
space L2(RR,
v)
is
quite
different from a
white
noise space,
and
it
is
not
useful
in
the
calculus
of
random
functionals.
3.
Poisson
noise
i) Background.
We
are
going
to
propose a new direction
of
the
treatment
of
random
functions which
are
expressed as functionals
of
Poisson noise,
As was briefly mentioned
in
the
motivation,
we
are
asked
to
introduce
a
method
of
analyzing functionals of Poisson noise.
An
urgent
request
has
come from
the
study
of
random
phenomena
the
probability
distribution
of
which is of fractional power
or
of
long (fat) tail.
Standard
distribution
of
this
kind is
the
stable
distribution.
Suppose
we
are
suggested
to
approximate
the
given fractional power
distribution
by a
stable
distribution.
Th
en
the
next
step
is
to
determine
the
power
CY,
which is one of
the
significant characteristics of
the
distribution.
To
this
end, one
may
think
of
the
least
square
method
in statistics.
But
it
is
not
recommended by
many
important
reasons. Here we do
not
go into
details
on
this
problem. A reasonable
method
uses
the
evaluation
of
the
area
given by
the
histogram
of
the
data
over intervals far from
O.
Even
the
power
CY
is
obtained,
we
can
not
investigate
the
structure
of
the
given
random
phenomena
.
In
reality,
we
have d
ete
rmined
only one-
dimensional distribution,
it
does
not
provide enough information for
the
determination
of
the
random
phenomena
in
question.
ii)
Wh
at
we
can
do is
that
we
try
to
discover
the
history
of
the
phe-
nomena,
together
with
its
environment. A favorable case is
that
the
given
stable
distribution
can
be
regarded as
what
is evaluated
at
some
instant
from a
stable
stochastic process.
One
may
think
that
because
of
the
circumstance
of
the
environment,
the
observed
data
might
have come from
the
accumulation
of
independent
data