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

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.

The theoretical result of this work is improved in our another work: arXiv:2106.13428

References in corpus (1)

• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

Cited by in corpus (1)

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