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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2017 Volume 58, Number 6, Pages 1354–1371 (Mi smj2943)

This article is cited in 3 papers

Stochastic equations with an unbounded operator coefficient and multiplicative noise

I. V. Melnikovaa, M. A. Alshanskiyb

a Ural Federal University, Institute of Natural Sciences and Mathematics, Ekaterinburg, Russia
b Ural Federal University, Institute of Radio Engineering and Information Technologies, Ekaterinburg, Russia

Abstract: Under study is a stochastic operator-differential equation with multiplicative noise in the space of Hilbert-valued generalized random variables. Existence and uniqueness of solutions to the Cauchy problem are proved for the case of an unbounded operator coefficient at the white noise. The equation of population dynamics with a stochastically perturbed multiplication operator is presented as an example.

Keywords: stochastic operator-differential equation, white noise, generalized random variable, S-transform, Wick product, Hitsuda–Skorokhod integral.

UDC: 517.983+517.982.4+519.21

MSC: 35R30

Received: 10.11.2015
Revised: 13.05.2017

DOI: 10.17377/smzh.2017.58.614


 English version:
Siberian Mathematical Journal, 2017, 58:6, 1052–1066

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© Steklov Math. Inst. of RAS, 2025