Numerics for Stochastic Distributed Parameter Control Systems: a Finite Transposition Method
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Publication:6364709
arXiv2104.02964MaRDI QIDQ6364709FDOQ6364709
Authors: Qi Lü, Penghui Wang, Yanqing Wang, Xu Zhang 
Publication date: 7 April 2021
Abstract: In this chapter, we present some recent progresses on the numerics for stochastic distributed parameter control systems, based on the emph{finite transposition method} introduced in our previous works. We first explain how to reduce the numerics of some stochastic control problems in this respect to the numerics of backward stochastic evolution equations. Then we present a method to find finite transposition solutions to such equations. At last, we give an illuminating example.
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical analysis (65-XX) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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