Abstract
Consider the following differential stochastic equation
where B: D(B) ⊂ H → H is a linear operator (generally unbounded) in a real separable Hilbert space H, f is a smooth function from H to H, W t is a K-valued Brownian motion in a probability space (Ω, ε, P) and K is another Hilbert space. Finally G: D(G) ⊂ H → L(K; H) is a linear operator (generally unbounded) from H into L(K; H). S is a positive nuclear operator in K such that cov(W t ) = tS.
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© 1988 Springer-Verlag New York Inc.
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Da Prato, G. (1988). Some Results on Kolmogoroff Equations for Infinite Dimensional Stochastic Systems. In: Fleming, W., Lions, PL. (eds) Stochastic Differential Systems, Stochastic Control Theory and Applications. The IMA Volumes in Mathematics and Its Applications, vol 10. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-8762-6_6
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DOI: https://doi.org/10.1007/978-1-4613-8762-6_6
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