Analysis of a discretization of a distributed control problem with a stochastic evolution equation

2021/01/19 by Binjie Li, Qin Zhou, Li, Binjie +3 · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #Differential Equations and Numerical Methods #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2101.07624

openalex publication_date 2021/01/19 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28

Abstract

This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo method is presented.

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• Convergence of a spatial semi-discretization for a backward semilinear stochastic parabolic equation

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