A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-Noise and Boundary-Control
A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-Noise and Boundary-Control
复制标题
具有狄利克雷边界噪声和边界控制的半线上热方程的随机最优控制问题
DOI：
--
复制
发表时间：
2009
期刊：
影响因子：
--
通讯作者：
F. Masiero
中科院分区：
文献类型：
--
作者：
F. Masiero
本文考虑半直线（0，+∞）上抛物型受控状态方程，边界条件为Dirichlet型，未知量为控制量与时间上的白色噪声之和.本文研究了与倒向随机微分方程相关的有限时域和无限时域最优控制问题。
We consider a controlled state equation of parabolic type on the halfline (0,+∞) with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon and infinite horizon optimal control problem related by means of backward stochastic differential equations.