Stochastic Processes in a Hilbert Space

  • Pavel S. Knopov
  • Olena N. Deriyeva
Part of the Springer Optimization and Its Applications book series (SOIA, volume 83)


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].


Hilbert Space Weak Solution Optimal Control Problem Stochastic Differential Equation Wiener Process 
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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Pavel S. Knopov
    • 1
  • Olena N. Deriyeva
    • 1
  1. 1.Department of Mathematical Methods of Operation ResearchV.M. Glushkov Institute of Cybernetics National Academy of Sciences of UkraineKievUkraine

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