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

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.

Automated summary

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.