Journal
JOURNAL OF SCIENTIFIC COMPUTING
Volume 87, Issue 3, Pages -Publisher
SPRINGER/PLENUM PUBLISHERS
DOI: 10.1007/s10915-021-01480-5
Keywords
Optimal control; Stochastic parabolic equation; Brownian motion; Discretization; Convergence
Categories
Funding
- National Natural Science Foundation of China [11901410]
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This paper analyzes the discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise. The state equation is discretized using the Continuous Piecewise Linear Element method in space and the Backward Euler scheme in time, with a rigorously derived convergence rate of O(tau(1/2) + h(2)).
A discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise is analyzed. The state equation is discretized by the continuous piecewise linear element method in space and by the backward Euler scheme in time. The convergence rate O(tau(1/2) + h(2)) is rigorously derived.
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