Strong Rates of Convergence for Space-Time Discretization of the Backward Stochastic Heat Equation, and of a Linear-Quadratic Control Problem for the Stochastic Heat Equation

Autor:	Prohl, Andreas, Wang, Yanqing
Rok vydání:	2020
Předmět:	Mathematics - Optimization and Control Mathematics - Numerical Analysis
Druh dokumentu:	Working Paper
Popis:	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 convergence. The fully discrete version of the forward-backward stochastic heat equation is then used within a gradient descent algorithm to approximately solve the linear-quadratic control problem for the stochastic heat equation driven by additive noise. Comment: A former version can be found at: https://na.uni-tuebingen.de/preprints.shtml. arXiv admin note: text overlap with arXiv:2012.04418
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2012.10117 Zobrazit plný text záznamu View this record from Arxiv