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

DOI10.1051/COCV:2007001zbMATH Open1123.60052OpenAlexW2003315290MaRDI QIDQ3424601FDOQ3424601

Marco Fuhrman, Gianmario Tessitore, A. Debussche

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

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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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Cited In (35)

• DGM: a deep learning algorithm for solving partial differential equations
• Stochastic evolution equations with rough boundary noise
• On evolution equations with white-noise boundary conditions
• Mild solutions of semilinear elliptic equations in Hilbert spaces
• Optimal control problems for Lipschitz dissipative systems with boundary-noise and boundary-control
• Sparse Grid Collocation Method for an Optimal Control Problem Involving a Stochastic Partial Differential Equation with Random Inputs
• Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
• Stochastic maximum principle for SPDEs with noise and control on the boundary
• Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
• A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes
• Feedback contol for stochastic heat equation
• A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control
• Optimal control of a stochastic delay partial differential equation with boundary-noise and boundary-control
• Feedback optimal control for stochastic Volterra equations with completely monotone kernels
• On the exact controllability of a nonlinear stochastic heat equation
• Global well-posedness and interior regularity of 2D Navier-Stokes equations with stochastic boundary conditions
• Optimal control for stochastic Volterra equations with multiplicative Lévy noise
• Optimal control of stochastic differential equations with dynamical boundary conditions
• Convergence Rate Analysis for Deep Ritz Method
• HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition
• An analytic approach to stochastic Volterra equations with completely monotone kernels
• Optimality conditions for parabolic stochastic optimal control problems with boundary controls
• Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems
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• Stochastic Equations with Boundary Noise
• Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control
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• A stochastic model for electrodeposition process with applications in filtering and boundary control
• Optimal control of backward stochastic heat equation with Neumann boundary control and noise
• Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems
• An efficient alternating direction method of multipliers for optimal control problems constrained by random Helmholtz equations
• Stochastic Optimal Control for the Stochastic Heat Equation with Exponentially Growing Coefficients and with Control and Noise on a Subdomain
• Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations
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