Parabolische Regularisierung einer hyperbolischen Itogleichung
A linear hyperbolic Ito-equation over a tripel of spaces \((V,H,V^*)\) with monotone operators and a Brownian motion \(w(\cdot)\) with values in a Hilbert space of the form \[ dy'(t)+Ay(t)dt=g(t)dt+B_ 1(t)y(t)\cdot w(dt)+B_ 2(t)y'(t)\cdot w(dt), \] \[ y(0)=y_ 0\in V,\quad y'(0)=y_ 1\in H, \] is considered. The equation is approximated by a method of parabolic regularization \(dy'\!_{\epsilon}(t)+Ay_{\epsilon}(t)dt+\epsilon Ay'\!_{\epsilon}(t)dt=g(t)dt+B_ 1(t)y_{\epsilon}(t)w(dt)+B_ 2(t)y'\!_{\epsilon}(t)*w(dt), y_{\epsilon}(0)=y_ 0\), y'\({}_{\epsilon}(0)=y_ 1\). It is proved that \[ \lim_{\epsilon \downarrow 0}E[\sup_{t}\{\| y(t)-y_{\epsilon}(t)\|^ 2_ V+\| y'(t)-y'\!_{\epsilon}(t))\|^ 2_ H\}]=0. \] This method is applied to the development of a maximum principle and to the existence of \(\epsilon\)-optimal controls of an optimal control problem with a random hyperbolic equation.
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