Let (M,d) be a metric space with a fixed origin O. P. Lévy defined Brownian motion X(a); a ∈ M as
0. X(O) = 0.
1. X(a) - X(b) is subject to the Gaussian law of mean 0 and variance d(a,b).
He gave an example for , the m-dimensional sphere. Let be the Gaussian random measure on , that is,
1. Y(B) is a centered Gaussian system,
2. the variance of Y(B) is equal of μ(B), where μ is the uniform measure on ,
3. if B₁ ∩ B₂ = ∅ then Y(B₁) is independent of Y(B₂).
4. for , i = 1,2,..., , i ≠ j, we...