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

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

2009-05-22

arxiv.org/abs/0905.3628v1

Mathematics

Probability

Scientific paper

We consider a controlled state equation of parabolic type on the halfline
$(0,+\infty)$ 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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