On well-posedness of Bayesian data assimilation and inverse problems in Hilbert space

Abstract: Bayesian inverse problem on an infinite dimensional separable Hilbert space with the whole state observed is well posed when the prior state distribution is a Gaussian probability measure and the data error covariance is a cylindric Gaussian measure whose covariance has positive lower bound. If the state distribution and the data distribution are equivalent Gaussian probability measures, then the Bayesian posterior measure is not well defined. If the state covariance and the data error covariance commute, then the Bayesian posterior measure is well defined for all data vectors if and only if the data error covariance has positive lower bound, and the set of data vectors for which the Bayesian posterior measure is not well defined is dense if the data error covariance does not have positive lower bound.