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• W3203266543 abstract "Abstract We propose a time-implicit, finite-element-based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear noise of type $[X(t)+sigma (t)],,textrm{d}W(t)$ and prove optimal convergence w.r.t. both space and time discretization parameters. In particular, we employ the stochastic Riccati equation as a proper analytical tool to handle the linear noise, and thus extend the applicability of the earlier work by Prohl & Wang (2021, Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation. ESAIM Control Optim. Calc. Var., 27, 54), where the error analysis was restricted to additive noise." @default.
• W3203266543 created "2021-10-11" @default.
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• W3203266543 date "2021-09-23" @default.
• W3203266543 modified "2023-09-26" @default.
• W3203266543 title "Strong error estimates for a space-time discretization of the linear-quadratic control problem with the stochastic heat equation with linear noise" @default.
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• W3203266543 doi "https://doi.org/10.1093/imanum/drab069" @default.
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