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20172020
most citedOptimal Strong Rates of Convergence for a Space-Time Discretization of the Stochastic Allen-Cahn Equation with multiplicative noise

39 citations · 48 across the 5 of their papers we have counts for

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math.OC2020★ 3 cited

Strong Rates of Convergence for Space-Time Discretization of the Backward Stochastic Heat Equation, and of a Linear-Quadratic Control Problem for the Stochastic Heat Equation

Andreas Prohl, Yanqing Wang

We introduce a time-implicit, finite-element based space-time discretization scheme for the backward stochastic heat equation, and for the forward-backward stochastic heat equation…

math.OC2020★ 4 cited

Strong Error Estimates for a Space-Time Discretization of the Linear-Quadratic Control Problem with the Stochastic Heat Equation with Linear Noise

Andreas Prohl, Yanqing Wang

We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control…