Temporal semi-discretizations of a backward semilinear stochastic evolution equation
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Publication:6166347
DOI10.1007/S00245-023-10014-4zbMath1515.65028arXiv2106.13428MaRDI QIDQ6166347
Publication date: 6 July 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.13428
discretizationBrownian motionstochastic linear quadratic controlbackward semilinear stochastic evolution equation
Numerical optimization and variational techniques (65K10) Linear-quadratic optimal control problems (49N10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Discrete approximations in optimal control (49M25) Existence of optimal solutions to problems involving randomness (49J55)
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