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An Inverse Problem for a Class of Linear Stochastic Evolution Equations

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  • Yuhuan Zhao

Abstract

An inverse problem for a linear stochastic evolution equation is researched. The stochastic evolution equation contains a parameter with values in a Hilbert space. The solution of the evolution equation depends continuously on the parameter and is Fréchet differentiable with respect to the parameter. An optimization method is provided to estimate the parameter. A sufficient condition to ensure the existence of an optimal parameter is presented, and a necessary condition that the optimal parameter, if it exists, should satisfy is also presented. Finally, two examples are given to show the applications of the above results.

Suggested Citation

  • Yuhuan Zhao, 2012. "An Inverse Problem for a Class of Linear Stochastic Evolution Equations," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-25, September.
    • Handle: RePEc:hin:jnljam:921038
    DOI: 10.1155/2012/921038
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