An Optimal Control Problem for Stochastic Linear PDE’s Driven by a Gaussian White Noise

DOI10.1007/978-3-540-69777-0_75zbMATH Open1157.65404OpenAlexW2185141813MaRDI QIDQ5503143

Author name not available (Why is that?)

Publication date: 12 January 2009

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69777-0_75

zbMATH Keywords

Galerkin finite element methodoptimal control problemsWiener-Itô chaos expansionlinear stochastic partial differential equations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Existence of optimal solutions to problems involving randomness (49J55)

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The equivalent discrete-time optimal control problem for time-varying continuous-time systems with white stochastic parameters

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