Abstract
We consider the problem of finding the form of a functional of an infinite-dimensional argument for which a certain given expression takes the minimum value for a fixed value of the parameter. The equation obtained for an unknown functional resembles equations with extended stochastic integral.
References
V. I. Bogachev and O. G. Smolyanov, “Analytic functional of random processes,”Usp. Mat. Nauk,45, 3–83 (1990).
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Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 46, No. 11, pp. 1568–1571, November, 1994.
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Dorogovtsev, A.A. Stochastic analysis and one minimization problem. Ukr Math J 46, 1735–1739 (1994). https://doi.org/10.1007/BF01058892
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DOI: https://doi.org/10.1007/BF01058892