Optimal control of a stochastic heat equation with boundary-noise and boundary-control

DOI10.1051/COCV:2007001zbMath1123.60052OpenAlexW2003315290MaRDI QIDQ3424601

Marco Fuhrman, Arnaud Debussche, Gianmario Tessitore

Publication date: 2 March 2007

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=COCV_2007__13_1_178_0

zbMATH Keywords

Hamilton-Jacobi-Bellman equationboundary controlstochastic heat equationforward-backward stochastic differential equationNeuman boundary condition

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Initial-boundary value problems for second-order parabolic equations (35K20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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