Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

DOI10.1007/S10915-021-01480-5zbMath1479.60132arXiv2011.14587OpenAlexW3157453967MaRDI QIDQ831252

Binjie Li, Qin Zhou

Publication date: 11 May 2021

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.14587

zbMATH Keywords

discretizationconvergenceBrownian motiondistributed controlstochastic parabolic equationoptimal control with partial differential equations

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Optimal stochastic control (93E20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55) PDE constrained optimization (numerical aspects) (49M41)

Related Items (4)

Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation ⋮ Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation ⋮ A fast algorithm for rank-\((L, M, N)\) block term decomposition of multi-dimensional data

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