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arXiv · 2104.09443

Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation

Qin Zhou·Binjie Li
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Abstract

This paper analyzes the discretization of a Neumann boundary control problem with a stochastic parabolic equation, where an additive noise occurs in the Neumann boundary condition. The convergence is established for general filtrations, and the convergence rate $ O(\tau^{1/4-\epsilon} + h^{1/2-\epsilon}) $ is derived for the natural filtration of the Q-Wiener process.

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Qin Zhou, Binjie Li. 2021-04-19. Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation. https://arxiv.org/abs/2104.09443

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