Estimation and control problems for stochastic partial differential equations

DOI10.1007/978-1-4614-8286-4MaRDI QIDQ2393354zbMATH OpenOpenAlexFDO

Authors Pavel S. Knopov, Olena N. Deriyeva

Publication date 7 August 2013

Published in Springer Optimization and Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-8286-4

zbMATH Keywords

prediction problemsstochastic optimal controlstochastic PDEtransport equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Review text

This book is a handbook on the study of stochastic differential equations of hyperbolic type which are essentially non-random PDEs disturbed by an additive random Gaussian perturbation. After introducing two-parameter martingales and stochastic differential equations in the plane, two detailed chapters are devoted to filtration and prediction problems for stochastic fields, on the one hand, and to the control problem for diffusion-type random fields, on the other hand. The last chapter considers stochastic processes with values in a Hilbert space. The framework is essentially standard applied mathematics in standard Hilbert spaces.

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