A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control

DOI10.1007/s00245-010-9103-zzbMath1226.93140arXiv0905.3628OpenAlexW2151209028MaRDI QIDQ607563

Federica Masiero

Publication date: 22 November 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.3628

zbMATH Keywords

boundary controlheat equationstochastic optimal controlDirichlet boundary conditionsbackward stochastic differential equationsboundary noise

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Regularity of solutions in optimal control (49N60) Methods involving semicontinuity and convergence; relaxation (49J45) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (9)

A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes ⋮ Feedback optimal control for stochastic Volterra equations with completely monotone kernels ⋮ On evolution equations with white-noise boundary conditions ⋮ Advection-diffusion equation on a half-line with boundary Lévy noise ⋮ Optimal control of a stochastic delay partial differential equation with boundary-noise and boundary-control ⋮ Mild solutions of semilinear elliptic equations in Hilbert spaces ⋮ Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems ⋮ Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control ⋮ Optimal control problems for Lipschitz dissipative systems with boundary-noise and boundary-control

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