Optimal control of backward stochastic heat equation with Neumann boundary control and noise
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Publication:5411918
DOI10.1080/17442508.2011.654345zbMath1286.93208OpenAlexW1985383172MaRDI QIDQ5411918
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2011.654345
maximum principlelinear-quadratic problemRiccati equationNeumann boundary controlboundary noisebackward stochastic heat equation
Optimal stochastic control (93E20) Boundary value problems for nonlinear higher-order PDEs (35G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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