Stochastic differential equations in Hilbert spaces for some random functions of a vector argument
Many practical problems lead to partial differential equations containing stationary (or reducible to stationary) random functions of a vector argument. Such are, for example, certain ecological problems, for which one must take random phenomena into account. To apply well developed methods of stochastic systems theory and the corresponding software to such problems, random functions are best represented in the equations as the solutions to some stochastic differential equations. We give here a general method for finding stochastic differential equations in the respective Hilbert spaces (\(H\)-spaces) for a wide class of stationary (or reducible to stationary) random functions of a vector argument. As an example of the application of this method, we design a mathematical model for a turbulent atmosphere in the form of a stochastic differential equation in the respective space \(L_2\) using the relevant experimental data (such a model is given for the first time here).
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