Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

DOI10.1051/cocv/2021052zbMath1467.60050arXiv2012.10117OpenAlexW3163115995MaRDI QIDQ4999547

Andreas Prohl, Yan Qing Wang

Publication date: 7 July 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.10117

zbMATH Keywords

stochastic linear quadratic problembackward stochastic heat equationforward-backward stochastic heat equationstrong error estimate with rates

Mathematics Subject Classification ID

Heat equation (35K05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)

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