Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
From MaRDI portal
Publication:6177464
DOI10.1007/s11425-021-2027-7arXiv2104.09443MaRDI QIDQ6177464
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
discretizationconvergenceNeumann boundary control\(Q\)-Wiener processstochastic parabolic equationboundary noise
Numerical optimization and variational techniques (65K10) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation
Cites Work
- Unnamed Item
- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
- Semigroups of linear operators and applications to partial differential equations
- Stochastic maximum principle for distributed parameter systems
- Error analysis of finite element approximations of the optimal control problem for stochastic Stokes equations with additive white noise
- Applied functional analysis. Applications to mathematical physics. Vol. 1
- A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
- Stochastic maximum principle for SPDEs with noise and control on the boundary
- A forward scheme for backward SDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation
- On the Existence of Optimal Controls for SPDEs with Boundary Noise and Boundary Control
- Stochastic Differential Equations in Infinite Dimensions
- Error Estimates of Stochastic Optimal Neumann Boundary Control Problems
- Optimal control of a stochastic heat equation with boundary-noise and boundary-control
- Optimization with PDE Constraints
- A Priori Error Estimates for Space-Time Finite Element Discretization of Parabolic Optimal Control Problems Part I: Problems Without Control Constraints
- Abstract Parabolic Evolution Equations and their Applications
- Adapted solution of a backward semilinear stochastic evolution equation
- On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
- Evolution equations with white-noise boundary conditions
- An Efficient Gradient Projection Method for Stochastic Optimal Control Problems
- Interpolation Theory
- 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
- Strong error estimates for a space-time discretization of the linear-quadratic control problem with the stochastic heat equation with linear noise
- Mathematical Control Theory for Stochastic Partial Differential Equations
- Stochastic Equations in Infinite Dimensions
- Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- A Maximum Principle for Optimal Control of Stochastic Evolution Equations
- General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
- The Mathematical Theory of Finite Element Methods
- Galerkin Finite Element Methods for Parabolic Problems
- Stochastic maximum principle for optimal control of SPDEs
- Stochastic maximum principle for optimal control of SPDEs
- Temporal semi-discretizations of a backward semilinear stochastic evolution equation