An efficient discretization to simulate the solution of linear-quadratic stochastic boundary control problem
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PDEs with randomness, stochastic partial differential equations (35R60) Optimality conditions for problems involving randomness (49K45) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)
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