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

Journal Article · Fri Oct 15 00:00:00 EDT 2010 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-010-9103-Z· OSTI ID:21480255

Masiero, Federica ^[1]

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1. Universita di Milano-Bicocca, Dipartimento di Matematica e Applicazioni (Italy)

We consider a controlled state equation of parabolic type on the halfline (0,+{infinity}) 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.

• OSTI ID: 21480255
• Journal Information: Applied Mathematics and Optimization, Vol. 62, Issue 2; Other Information: DOI: 10.1007/s00245-010-9103-z; Copyright (c) 2010 Springer Science+Business Media, LLC; ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

97 MATHEMATICAL METHODS AND COMPUTING
BOUNDARY CONDITIONS
CONTROL THEORY
DIFFERENTIAL EQUATIONS
DIRICHLET PROBLEM
HEAT
NOISE
OPTIMAL CONTROL
STOCHASTIC PROCESSES
BOUNDARY-VALUE PROBLEMS
CONTROL
ENERGY
EQUATIONS