No label defined (Q4940280)

The author considers a random process \(\xi(t)\) generated by the differential equation \[ L_ t \xi(t)=K_ t {\dot W}(t),\quad t\in[0,T], \tag{1} \] with the initial conditions \[ \xi(0)=0, \quad \xi'(0)=\xi_1, \ldots, \xi^{(n-1)}(0)=\xi_{n-1}, \tag{2} \] where \[ L_{t}x(t)=\sum_{k=1}^{n}a_{k}(t)x^{(k)}(t), \quad K_{t}x(t)=\sum_{k=1}^{m}b_{k}(t)x^{(k)}(t), \] \(\xi_1,\ldots,\xi_{n-1}\) are Gaussian random variables, \(W(t)\) is a standard Wiener process, \(m<n\), the coefficients \(a_{k}(t)\) have \(n+k\) derivatives and the coefficients \(b_{k}(t)\) have \(m+k\) derivatives. Under some assumptions the author proves the following statement: A process satisfying equation (1) with the initial conditions (2) is an Itô process with respect to the family of nondecreasing \(\sigma\)-algebras \(\{{\mathcal F}_{t}\}\) generated by the Wiener process \(W(t)\) and the random variables \(\beta_{k}\) \((k=1,2,\ldots,n)\) and it can be represented in the form \[ \xi(t)=\int_0^{t}\eta(t) dt + \int_0^{t}a_{n}^{-1}(t) dW(t), \] where \[ \begin{aligned} \eta(t)&=\int_0^{t}\biggl[K_{s}^{\ast}- (-1)^{n-1}{\partial^{n-1}\over\partial s^{n-1}} \biggr]{\partial\over\partial t}G(t,s) dW(s)- \int_0^{t}\biggl[a_{n}^{-1}(t) L_{s}^*-{\partial^{n}\over\partial t^{n}} \biggr]G(t,s) dW(s)\\ &\quad- \int_0^{t}\biggl[{\partial^{n}\over\partial t^{n}}- (-1)^{n-1}{\partial^{n}\over\partial s^{n-1}} \biggr]G(t,s) dW(s)+\sum_{k=1}^{n}\beta_{k} u_{k}(t),\end{aligned} \] \(K_{s}^{\ast}\) and \(L_{s}^{\ast}\) are conjugate differential operators to \(K_{s}\) and \(L_{s}\), \(G(t,s)\) is the Riemann function of the operator \(L_{t}\), \(\beta_{k}\) \((k=1,\ldots,n)\) are some random variables defined by the initial condition (2), \(u_{k}(t)\) is a fundamental system of solutions to the homogeneous equation \(L_{t}^{\ast}f(t)=0\).