Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

DOI10.1051/COCV/2021052MaRDI QIDQ4999547zbMATH OpenOpenAlexFDO

Authors Andreas Prohl, Yanqing Wang

Publication date 7 July 2021

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2012.10117

zbMATH Keywords

backward stochastic heat equationforward-backward stochastic heat equationstochastic linear quadratic problemstrong error estimate with rates

Mathematics Subject Classification ID

Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Optimal stochastic control (93E20)

Abstract: We introduce a time-implicit, finite-element based space-time discretization scheme for the backward stochastic heat equation, and for the forward-backward stochastic heat equation from stochastic optimal control, and prove strong rates of convergence. The fully discrete version of the forward-backward stochastic heat equation is then used within a gradient descent algorithm to approximately solve the linear-quadratic control problem for the stochastic heat equation driven by additive noise.

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Cited in

(16)

• An averaged space-time discretization of the stochastic \(p\)-Laplace system
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