Zobrazeno 1 - 10
of 61
pro vyhledávání: '"Backward stochastic heat equation"'
Autor:
Prohl, Andreas, Wang, Yanqing
We introduce a time-implicit, finite-element based space-time discretization scheme for the backward stochastic heat equation, and for the forward-backward stochastic heat equation from stochastic optimal control, and prove strong rates of convergenc
Externí odkaz:
http://arxiv.org/abs/2012.10117
Autor:
Prohl, Andreas1 (AUTHOR), Wang, Yanqing2 (AUTHOR) yqwang@amss.ac.cn
Publikováno v:
ESAIM: Control, Optimisation & Calculus of Variations. 6/4/2021, Vol. 26, p1-30. 30p.
Akademický článek
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Akademický článek
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Autor:
Yanqing Wang, Andreas Prohl
Publikováno v:
ESAIM: Control, Optimisation and Calculus of Variations. 27:54
We verify strong rates of convergence for a time-implicit, finite-element based space-time discretization of the backward stochastic heat equation, and the forward-backward stochastic heat equation from stochastic optimal control. The fully discrete
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07ee2cdbd051341b8cf1215c3d79021b
https://doi.org/10.1051/cocv/2021052
https://doi.org/10.1051/cocv/2021052
Autor:
Thomas Dunst, Andreas Prohl
Publikováno v:
SIAM Journal on Scientific Computing. 38:A2725-A2755
We prove strong convergence with optimal rates for a spatial discretization of the backward stochastic heat equation, and the forward-backward stochastic heat equation from stochastic optimal control. A full discretization based on the implicit Euler
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f24c77bf56340699a4dc5e55c24b9b8
https://doi.org/10.1137/15m1022951
https://doi.org/10.1137/15m1022951
Autor:
Bin Liu, Huaiqiang Yu
Publikováno v:
Stochastics. 85:532-558
This paper considers a stochastic control problem in which the dynamic system is a controlled backward stochastic heat equation with Neumann boundary control and boundary noise and the state must coincide with a given random vector at terminal time.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4aa55506dbd0e530b088c459bfcfe7a6
https://doi.org/10.1080/17442508.2011.654345
https://doi.org/10.1080/17442508.2011.654345
Autor:
Li, Hongheng1 hongheng.li@163.com, Lü, Qi luqi59@163.com
Publikováno v:
Chinese Annals of Mathematics. Nov2012, Vol. 33 Issue 6, p909-918. 10p.
Autor:
Prohl, Andreas, Wang, Yanqing
Publikováno v:
IMA Journal of Numerical Analysis; Oct2022, Vol. 42 Issue 4, p3386-3429, 44p
Autor:
Qi Lü, Hongheng Li
Publikováno v:
BIRD: BCAM's Institutional Repository Data
instname
instname
The authors establish the null controllability for some systems coupled by two backward stochastic heat equations. The desired controllability result is obtained by means of proving a suitable observability estimate for the dual system of the control
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::97705f97b7cf6fc974d30569e8f8af70
https://hdl.handle.net/20.500.11824/561
https://hdl.handle.net/20.500.11824/561