A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-Noise and Boundary-Control
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چکیده
منابع مشابه
A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control
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 menas of backward stochastic differential equations.
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ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2010
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-010-9103-z