Analysis of a discretization of a distributed control problem with a stochastic evolution equation

19 Jan 2021 · Binjie Li, Qin Zhou, Xiaoping Xie ·

This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo method is presented.