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Optimal Control of a Stochastic Delay Partial Differential Equation with Boundary-Noise and Boundary-Control

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Abstract

We consider a controlled stochastic delay partial differential equation withNeumann boundary conditions in which the derivative of the unknown is equal to the sum of the control and of a white noise in time. We study the optimal control problem by means of the associated backward stochastic differential equations.

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Authors and Affiliations

  1. College of Science, Northwest A&F University, Yangling, 712100, Shaanxi, People’s Republic of China

    Jianjun Zhou

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  1. Jianjun Zhou
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Zhou, J. Optimal Control of a Stochastic Delay Partial Differential Equation with Boundary-Noise and Boundary-Control. J Dyn Control Syst 20, 503–522 (2014). https://doi.org/10.1007/s10883-014-9228-5

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  • DOI: https://doi.org/10.1007/s10883-014-9228-5

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