Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation

04/19/2021

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by   Qin Zhou, et al.

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This paper analyzes the discretization of a Neumann boundary control problem with a stochastic parabolic equation, where an additive noise occurs in the Neumann boundary condition. The convergence is established for general filtrations, and the convergence rate O(τ^1/4-ϵ + h^3/2-ϵ) is derived for the natural filtration of the Q-Wiener process.