Strong Error Estimates for a Space-Time Discretization of the Linear-Quadratic Control Problem with the Stochastic Heat Equation with Linear Noise

12/08/2020

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by   Andreas Prohl, et al.

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We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear noise of type [X(t)+σ(t)]dW(t), and prove optimal convergence w.r.t. both, space and time discretization parameters. In particular, we employ the stochastic Riccati equation as a proper analytical tool to handle the linear noise, and thus extend the applicability of the earlier work [16], where the error analysis was restricted to additive noise.