STOCHASTIC DIFFERENTIAL GAMES IN DISTRIBUTED SYSTEMS WITH DELAY

We study a differential game of approach in a delay stochastic system. The evolution of the system is described by Ito`s linear stochastic differential equation in Hilbert space. The considered Hilbert spaces are assumed to be real and separable. The Wiener process takes values in a Hilbert space and has a nuclear symmetric positive covariance operator. The pursuer and evader controls are non-anticipating random processes, taking on values, generally, in different Hilbert spaces. The operator multiplying the system state is the generator of an analytic semigroup. Solutions of the equation are represented with the help of a formula of variation of constants by the initial data and the control block. The delay effect is taken into account by summing shift type operators. To study the differential game, the method of resolving functions is extended to case of delay stochastic systems in Hilbert spaces. The technique of set-valued mappings and their selectors is used. We consider the application of obtained results in abstract Hilbert spaces to systems described by stochastic partial differential equations with time delay. By taking into account a random external influence and time delay, we study the heat propagation process with controlled distributed heat source and leak.