We consider a stochastic optimal control problem for a heat equation with boundary noise and boundary control. Under suitable assumptions on the coefficients, we prove existence of optimal controls in a strong sense by solving the related stochastic Hamiltonian system.

Guatteri, G., Masiero, F. (2013). On the Existence of Optimal Controls for SPDEs with Boundary Noise and Boundary Control. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 51(3), 1909-1939 [10.1137/110855855].

On the Existence of Optimal Controls for SPDEs with Boundary Noise and Boundary Control

MASIERO, FEDERICA
2013

Abstract

We consider a stochastic optimal control problem for a heat equation with boundary noise and boundary control. Under suitable assumptions on the coefficients, we prove existence of optimal controls in a strong sense by solving the related stochastic Hamiltonian system.
Articolo in rivista - Articolo scientifico
Stochastic control, maximum principle, stochastic evolution equation, forward- backward stochastic differential system
English
2013
51
3
1909
1939
none
Guatteri, G., Masiero, F. (2013). On the Existence of Optimal Controls for SPDEs with Boundary Noise and Boundary Control. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 51(3), 1909-1939 [10.1137/110855855].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/45789
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