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.
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