论文标题
通过乘法噪声驱动的随机抛物线方程的分布式最佳控制问题离散
Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
论文作者
论文摘要
分析了由乘法噪声驱动的随机抛物线方程的最佳控制问题的离散化。该状态方程在空间中的连续分段线性元素方法和及时的向后欧拉方案中离散。收敛速率$ o（τ^{1/2} + h^2）$是严格得出的。
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(τ^{1/2} + h^2) $ is rigorously derived.
