A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control (Q607563): Difference between revisions

This paper deals with an optimal control problem for a state equation of parabolic type on the halfline \((0,+\infty)\): \({\partial y\over\partial s}(s,\xi)= {\partial^2 y\over\partial \xi^2}(s,\xi)+f(s,y(s,\xi))\), \(s\in[t,T]\), \(\xi\in(0,+\infty)\), \(y(t,\xi)=x(\xi)\), \(y(s,0)=u\_s+\dot W_s\). Here \(\{W_t\), \(t\geq0\}\) is a standard real Wiener process, \(y(s,\xi,\omega)\) is the unknown real-valued process and represents the state of the system; the control is given by the real-valued processes \(u(s,\xi,\omega)\) acting at 0; \(x: (0,+\infty)\to\mathbb R\). The optimal control problem in this paper consists in minimizing the following finite horizon cost \(J(t,x,u)=E\int_t^T\int_0^{+\infty}l(s,\xi,y(s,\xi),u_s)\,d\xi\,ds+ E\int_0^{+\infty}\varphi(\xi,y(T,\xi))\,d\xi\), and also minimizing the following infinite horizon cost \(J(x,u)=E\int_0^{+\infty}e^{-\mu s}\int_0^{+\infty} l(s,\xi,y(s,\xi),u_s)\,d\xi\,ds \). The authors transpose the controlled state equation in the infinite dimensional framework and study regularity properties of the solution of this forward state equation. The backward equation associated to the problem is studied. Existence and uniqueness of the Hamilton-Jacobi-Bellman equation are proved. The case of infinite horizon is also considered.