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Stochastic variation of constants formula for infinite dimensional equations

Author: Stefano Bonaccorsi a
Affiliation:   a Department of Mathematics, University of Trento, Italy
DOI: 10.1080/07362999908809616
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 17, Issue 4 1999 , pages 509 - 528
Formats available: PDF (English)
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Abstract

Given two linear, possibly unbounded, operators A and B on a Hilbert space H, we are concerned with linear nonhomogeneous equations of the form: ./LSAA_A_8809616_O_XML_IMAGES/LSAA_A_8809616_O_ILM0001.gif . Explicit solutions can be obtained, as in the ordinary differential equation case, by means of the variation of constants formula. We use results from the stochastic calculus for anticipative integrands in order to prove our theorems
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