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

2021/04/19 by Zhou, Qin, Li, Binjie
#49Mxx #65Cxx #65Kxx #93Exx #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2104.09443

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(τ^1/4-ε + h^1/2-ε) is derived for the natural filtration of the Q-Wiener process.

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