Journal
SCIENCE CHINA-MATHEMATICS
Volume 66, Issue 9, Pages 2133-2156Publisher
SCIENCE PRESS
DOI: 10.1007/s11425-021-2027-7
Keywords
Neumann boundary control; stochastic parabolic equation; Q-Wiener process; boundary noise; discretization; convergence
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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 filtration, and the convergence rate O(tau(1/4-epsilon)+h(1/2-epsilon)) is derived for the natural filtration of the Q-Wiener process.
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 filtration, 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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