Optimal recovery of linear operators from information of random functions

Abstract: The paper concerns problems of the recovery of linear operators defined on sets of functions from information of these functions given with stochastic errors. The constructed optimal recovery methods, in general, do not use all the available information. As a consequence, optimal methods are obtained for recovering derivatives of functions from Sobolev classes by the information of their Fourier transforms given with stochastic errors. A similar problem is considered for solutions of the heat equation.