Strong Rates of Convergence for Space-Time Discretization of the Backward Stochastic Heat Equation, and of a Linear-Quadratic Control Problem for the Stochastic Heat Equation

12/18/2020

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by   Andreas Prohl, et al.

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We introduce a time-implicit, finite-element based space-time discretization scheme for the backward stochastic heat equation, and for the forward-backward stochastic heat equation from stochastic optimal control, and prove strong rates of convergence. The fully discrete version of the forward-backward stochastic heat equation is then used within a gradient descent algorithm to approximately solve the linear-quadratic control problem for the stochastic heat equation driven by additive noise.