In the paper https://arxiv.org/abs/1602.04938 there is a formula
What does the formula for $\Omega(g)$ mean? I understand that $w_g$ is a vector and that, using the zero norm $$||w_g||_0 > K$$ means "the number of non-zero elements of $w_g$ must be greater than $K$", but I don't get the rest.

The $\mathbb{1}$ means the indicator function, which is used here to say that it should take the value 0 when the condition inside is false, and the value 1 when the condition inside is true. That is, as a function of $g$, we have $$ \mathbb 1[\|w_g\|_0 > K] = \begin{cases} 1 & \text{if $\|w_g\|_0 > K$,}\\ 0 & \text{otherwise.} \end{cases} $$ The infinity symbol here just means "infinity" (some value larger than all real numbers), and the fact that they are written next to each other just means "multiplication", where it is supposed to be understood that $\infty \times 1 = \infty$, and $\infty \times 0 = 0$. Thus the entire function is $$ \Omega(g) = \infty \times \mathbb 1[\|w_g\|_0 > K] = \begin{cases} \infty & \text{if $\|w_g\|_0 > K$,}\\ 0 & \text{otherwise.} \end{cases} $$ (None of this is standard by the way, and it makes sense that you're confused.)