Stochastic Processes in a Hilbert Space

Pavel S. Knopov and Olena N. Deriyeva
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Pavel S. Knopov: V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine
Olena N. Deriyeva: V.M. Glushkov Institute of Cybernetics National Academy of Sciences of Ukraine

Chapter Chapter 5 in Estimation and Control Problems for Stochastic Partial Differential Equations, 2013, pp 155-175 from Springer

Abstract: Abstract In this chapter we consider essential problems of stochastic processes with values in a Hilbert space. We present an analogue of the Girsanov theorem for processes of such a type, and some filtration and optimal control problems. Results, exposed in Sects. 5.1 and 5.2, are published in [70], results of Sect. 5.3 are published in [49, 50].

Keywords: Hilbert Space; Weak Solution; Optimal Control Problem; Stochastic Differential Equation; Wiener Process (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-8286-4_5

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DOI: 10.1007/978-1-4614-8286-4_5

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