A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control

2009/05/22 by Federica Masiero · 1 citation
Mathematics · #math.PR #math.OC

paper · pdf

published as Applied Mathematics & Optimization 2010, Volume 62, Issue 2, pp 253-294

arxiv created 2009/05/22 · arxiv updated 2013/04/10

Abstract

We consider a controlled state equation of parabolic type on the halfline (0,+∞) with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon and infinite horizon optimal control problem related by menas of backward stochastic differential equations.

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• Infinite horizon Stochastic Optimal Control for Volterra equations with completely monotone kernels

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