An inverse problem for a class of linear stochastic evolution equations

DOI10.1155/2012/921038MaRDI QIDQ1760889zbMATH OpenOpenAlexWikidataFDO

Authors Yuhuan Zhao

Publication date 15 November 2012

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/921038

zbMATH Keywords

existence of an optimal parameterHilbert spaceoptimization methodstochastic evolution equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

Summary: An inverse problem for a linear stochastic evolution equation is researched. The stochastic evolution equation contains a parameter with values in a Hilbert space. The solution of the evolution equation depends continuously on the parameter and is Fréchet differentiable with respect to the parameter. An optimization method is provided to estimate the parameter. A sufficient condition to ensure the existence of an optimal parameter is presented, and a necessary condition that the optimal parameter, if it exists, should satisfy is also presented. Finally, two examples are given to illustrate applications of the above results.

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Cited in

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• Existence of the inverse of a linear stochastic operator
• Extremal method for solving parametric inverse problem for a system of linear functional equations
• Parameter estimation for stochastic evolution equations with non-commuting operators
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• Inverse problem for nonlinear stochastic systems and necessary conditions for optimal choice of drift and diffusion vector fields
• scientific article; zbMATH DE number 7635258 (Why is no real title available?)
• An inverse problem of Itô stochastic differential equation
• Maximum likelihood estimation for a linear stochastic evolution equation
• An inverse problem for stochastic differential systems

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