A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes

DOI10.1016/j.jmaa.2017.08.052zbMath1370.93315OpenAlexW2751364042WikidataQ115214777 ScholiaQ115214777MaRDI QIDQ2405395

Peter Benner, Christoph Trautwein

Publication date: 25 September 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11858/00-001M-0000-002D-DCAA-E

zbMATH Keywords

heat equationstochastic controlNeumann boundary conditionRiccati equationfractional power operatorQ-Wiener process

Mathematics Subject Classification ID

Feedback control (93B52) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

Related Items

Fully nonlocal stochastic control problems with fractional Brownian motions and Poisson jumps, Random geometries for optimal control PDE problems based on fictitious domain FEMs and cut elements, Stochastic evolution equations with rough boundary noise

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