Horowitz, Joseph - In: Stochastic Processes and their Applications 22 (1986) 1, pp. 129-133
A Gaussian random measure is a mean zero Gaussian process [eta](A), indexed by sets A in a [sigma]-field, such that [eta]([Sigma]Ai)=[Sigma][eta](Ai), where [Sigma]Ai indicates disjoint union and the series on the right is required to converge everywhere, so [eta] is a random signed measure....