Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation

DOI10.1007/S11425-021-2027-7MaRDI QIDQ6177464zbMATH OpenFDO

Authors Qin Zhou, Binjie Li

Publication date 31 August 2023

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.09443

zbMATH Keywords

\(Q\)-Wiener processboundary noiseconvergencediscretizationNeumann boundary controlstochastic parabolic equation

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Numerical optimization and variational techniques (65K10)

Abstract: This paper analyzes the discretization of a Neumann boundary control problem with a stochastic parabolic equation, where an additive noise occurs in the Neumann boundary condition. The convergence is established for general filtrations, and the convergence rate $O(a{u}^{1/4-epsilon}+h^{1/2-epsilon})$ is derived for the natural filtration of the Q-Wiener process.

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Cited in

(6)

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• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
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