Numerical Approximation of the LQ-Control of Stochastic Parabolic Equations

B. Rehák (Czech Republic)


LQ-optimal control, Heat-Transfer Equation, Stochastic Process, Finite-Difference Method, Riccati Equation.


We study the finite-difference discretization of the Riccati equation arising from the LQ-control problem for the heat transfer equation with random parameters.

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