Strong error estimates for a space-time discretization of the linear-quadratic control problem with the stochastic heat equation with linear noise

DOI10.1093/imanum/drab069zbMath1505.65267arXiv2012.04418OpenAlexW3203266543MaRDI QIDQ5042896

Andreas Prohl, Yan Qing Wang

Publication date: 26 October 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.04418

zbMATH Keywords

error estimatestochastic heat equationPontryagin's maximum principlestochastic Riccati equationstochastic linear quadratic problem

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) 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) Numerical solutions to stochastic differential and integral equations (65C30) Diffusive and convective heat and mass transfer, heat flow (80A19)

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