A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-Noise and Boundary-Control

A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet... We consider a controlled state equation of parabolic type on the halfline (0,+∞) 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 means of backward stochastic differential equations. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-Noise and Boundary-Control

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Publisher
Springer-Verlag
Copyright
Copyright © 2010 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-010-9103-z
Publisher site
See Article on Publisher Site

Abstract

We consider a controlled state equation of parabolic type on the halfline (0,+∞) 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 means of backward stochastic differential equations.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Oct 1, 2010

References

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