Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
Numerical Analysis
2021-02-23 v3 Numerical Analysis
Optimization and Control
Abstract
A discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise is analyzed. The state equation is discretized by the continuous piecewise linear element method in space and by the backward Euler scheme in time. The convergence rate is rigorously derived.
Cite
@article{arxiv.2011.14587,
title = {Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise},
author = {Binjie Li},
journal= {arXiv preprint arXiv:2011.14587},
year = {2021}
}