A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control
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🧮 math.PR
math.OC
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controldirichletequationhalflinehorizonoptimalproblemstochastic
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We consider a controlled state equation of parabolic type on the halfline $(0,+\infty)$ 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 menas of backward stochastic differential equations.
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