A discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise is analyzed. The state equation is discretized by the continuous piecewise linear element method in space and by the backward Euler scheme in time. The convergence rate $ O(\tau^{1/2} + h^2) $ is rigorously derived.
翻译:分析由多倍噪声驱动的随机抛物线方程式最佳控制问题的离散性。 状态方程式通过空间连续的片段线性元素法和后向的尤勒计划及时分离。 严格推导出O( tau)1/2} + h ⁇ 2美元 的趋同率 。