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Some remarks on Rademacher's theorem in infinite dimensions

1996, Potential Analysis

Abstract

We provide an infinite dimensional version of Rademacher's theorem in a linear space provided with a bounded Radon measure #. The underlying concepts of the Lipschitz property and differentiability hold #-almost everywhere and only in the linear subspace of directions along which /~ is quasiinvariant. The particular case where (X, #) is the Wiener space (and for which the subspace of quasiinvariance coincides with the Cameron-Martin space) was proved in Enchev and Stroock (1993). Mathematics Subject Classifications (1991): 26E 15, 60H99.