A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control
Probability
2013-04-10 v1 Optimization and Control
Abstract
We consider a controlled state equation of parabolic type on the halfline with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon and infinite horizon optimal control problem related by menas of backward stochastic differential equations.
Keywords
Cite
@article{arxiv.0905.3628,
title = {A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control},
author = {Federica Masiero},
journal= {arXiv preprint arXiv:0905.3628},
year = {2013}
}