Abstract
In this chapter we consider essential problems of stochastic processes with values in a Hilbert space. We present an analogue of the Girsanov theorem for processes of such a type, and some filtration and optimal control problems. Results, exposed in Sects. 5.1 and 5.2, are published in [70], results of Sect. 5.3 are published in [49, 50].
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Knopov, P.S., Deriyeva, O.N. (2013). Stochastic Processes in a Hilbert Space. In: Estimation and Control Problems for Stochastic Partial Differential Equations. Springer Optimization and Its Applications, vol 83. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-8286-4_5
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DOI: https://doi.org/10.1007/978-1-4614-8286-4_5
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