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arXiv:0905.3628 [math.PR]AbstractReferencesReviewsResources

A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control

Federica Masiero

Published 2009-05-22Version 1

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.

Journal: Applied Mathematics & Optimization 2010, Volume 62, Issue 2, pp 253-294
Categories: math.PR, math.OC
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