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

DOI10.1051/COCV:2007001MaRDI QIDQ3424601zbMATH OpenOpenAlexFDO

Authors A. Debussche, Marco Fuhrman, 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, https://eudml.org/doc/244730

zbMATH Keywords

boundary controlforward-backward stochastic differential equationHamilton-Jacobi-Bellman equationstochastic heat equationNeuman boundary condition

Mathematics Subject Classification ID

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

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