An Optimal Control Problem for Stochastic Linear PDE’s Driven by a Gaussian White Noise

DOI10.1007/978-3-540-69777-0_75zbMath1157.65404MaRDI QIDQ5503143

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Publication date: 12 January 2009

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69777-0_75

zbMATH Keywords

Galerkin finite element method; optimal control problems; Wiener-Itô chaos expansion; linear stochastic partial differential equations

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

49M15: Newton-type methods

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

49J55: Existence of optimal solutions to problems involving randomness