Analysis of a discretization of a distributed control problem with a stochastic evolution equation
Numerical Analysis
2022-08-31 v3 Numerical Analysis
Optimization and Control
Abstract
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo method is presented.
Cite
@article{arxiv.2101.07624,
title = {Analysis of a discretization of a distributed control problem with a stochastic evolution equation},
author = {Binjie Li and Qin Zhou and Xiaoping Xie},
journal= {arXiv preprint arXiv:2101.07624},
year = {2022}
}
Comments
The theoretical result of this work is improved in our another work: arXiv:2106.13428