Optimal control of a stochastic heat equation with boundary-noise and boundary-control
ESAIM: Control, Optimisation and Calculus of Variations, Volume 13 (2007) no. 1, pp. 178-205.

We are concerned with the optimal control of a nonlinear stochastic heat equation on a bounded real interval with Neumann boundary conditions. The specificity here is that both the control and the noise act on the boundary. We start by reformulating the state equation as an infinite dimensional stochastic evolution equation. The first main result of the paper is the proof of existence and uniqueness of a mild solution for the corresponding Hamilton-Jacobi-Bellman (HJB) equation. The C 1 regularity of such a solution is then used to construct the optimal feedback for the control problem. In order to overcome the difficulties arising from the degeneracy of the second order operator and from the presence of unbounded terms we study the HJB equation by introducing a suitable forward-backward system of stochastic differential equations as in the appraoch proposed in [Fuhrman and Tessitore, Ann. Probab. 30 (2002) 1397-1465; Pardoux and Peng, Lect. Notes Control Inf. Sci. 176 (1992) 200-217] for finite dimensional and infinite dimensional semilinear parabolic equations respectively.

DOI: 10.1051/cocv:2007001
Classification: 60H30, 49L20, 93E20, 35K20
Keywords: boundary noise, optimal boundary control, HJB equation, backward stochastic differential equations
@article{COCV_2007__13_1_178_0,
     author = {Debussche, Arnaud and Fuhrman, Marco and Tessitore, Gianmario},
     title = {Optimal control of a stochastic heat equation with boundary-noise and boundary-control},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {178--205},
     publisher = {EDP-Sciences},
     volume = {13},
     number = {1},
     year = {2007},
     doi = {10.1051/cocv:2007001},
     mrnumber = {2282108},
     zbl = {1123.60052},
     language = {en},
     url = {http://www.numdam.org/articles/10.1051/cocv:2007001/}
}
TY  - JOUR
AU  - Debussche, Arnaud
AU  - Fuhrman, Marco
AU  - Tessitore, Gianmario
TI  - Optimal control of a stochastic heat equation with boundary-noise and boundary-control
JO  - ESAIM: Control, Optimisation and Calculus of Variations
PY  - 2007
SP  - 178
EP  - 205
VL  - 13
IS  - 1
PB  - EDP-Sciences
UR  - http://www.numdam.org/articles/10.1051/cocv:2007001/
DO  - 10.1051/cocv:2007001
LA  - en
ID  - COCV_2007__13_1_178_0
ER  - 
%0 Journal Article
%A Debussche, Arnaud
%A Fuhrman, Marco
%A Tessitore, Gianmario
%T Optimal control of a stochastic heat equation with boundary-noise and boundary-control
%J ESAIM: Control, Optimisation and Calculus of Variations
%D 2007
%P 178-205
%V 13
%N 1
%I EDP-Sciences
%U http://www.numdam.org/articles/10.1051/cocv:2007001/
%R 10.1051/cocv:2007001
%G en
%F COCV_2007__13_1_178_0
Debussche, Arnaud; Fuhrman, Marco; Tessitore, Gianmario. Optimal control of a stochastic heat equation with boundary-noise and boundary-control. ESAIM: Control, Optimisation and Calculus of Variations, Volume 13 (2007) no. 1, pp. 178-205. doi : 10.1051/cocv:2007001. http://www.numdam.org/articles/10.1051/cocv:2007001/

[1] P. Albano and P. Cannarsa, Lectures on carleman estimates for elliptic and parabolic operators with applications. Preprint, Università di Roma Tor Vergata. | MR

[2] S. Albeverio and Y.A. Rozanov, On stochastic boundary conditions for stochastic evolution equations. Teor. Veroyatnost. i Primenen. 38 (1993) 3-19. | Zbl

[3] E. Alòs and S. Bonaccorsi, Stochastic partial differential equations with Dirichlet white-noise boundary conditions. Ann. Inst. H. Poincaré Probab. Statist. 38 (2002) 125-154. | Numdam | Zbl

[4] E. Alòs and S. Bonaccorsi, Stability for stochastic partial differential equations with Dirichlet white-noise boundary conditions. Infin. Dimens. Anal. Quantum Probab. Relat. Top. 5 (2002) 465-481. | Zbl

[5] J.P. Aubin and H. Frankowska, Set-valued analysis, Systems & Control: Foundations & Applications 2. Birkhäuser Boston Inc., Boston, MA (1990). | MR | Zbl

[6] A.V. Balakrishnan, Applied functional analysis, Applications of Mathematics 3. Springer-Verlag, New York (1976). | MR | Zbl

[7] A. Chojnowska-Michalik, A semigroup approach to boundary problems for stochastic hyperbolic systems. Preprint (1978).

[8] G. Da Prato and J. Zabczyk, Evolution equations with white-noise boundary conditions. Stoch. Stoch. Rep. 42 (1993) 167-182. | Zbl

[9] G. Da Prato and J. Zabczyk, Ergodicity for infinite-dimensional systems. London Math. Soc. Lect. Notes Ser. 229, Cambridge University Press (1996). | MR | Zbl

[10] T.E. Duncan, B. Maslowski and B. Pasik-Duncan, Ergodic boundary/point control of stochastic semilinear systems. SIAM J. Control Optim. 36 (1998) 1020-1047. | Zbl

[11] N. El Karoui, S. Peng and M.C. Quenez, Backward stochastic differential equations in finance. Math. Finance 7 (1997) 1-71. | Zbl

[12] H.O. Fattorini, Boundary control systems. SIAM J. Control 6 (1968) 349-385. | Zbl

[13] W.H. Fleming and H.M. Soner, Controlled Markov processes and viscosity solutions. Appl. Math. 25, Springer-Verlag, New York (1993). | MR | Zbl

[14] M. Fuhrman and G. Tessitore, Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control. Ann. Probab. 30 (2002) 1397-1465. | Zbl

[15] M. Fuhrman and G. Tessitore, Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces. Ann. Probab. 32 (2004) 607-660. | Zbl

[16] A.V. Fursikov and O.Y. Imanuvilov, Controllability of Evolution Equations. Lect. Notes Ser. 34, Seoul National University Research Institute of Mathematics Global Analysis Research Center, Seoul (1996). | MR | Zbl

[17] F. Gozzi, Regularity of solutions of second order Hamilton-Jacobi equations and application to a control problem. Comm. Part. Diff. Eq. 20 (1995) 775-826. | Zbl

[18] F. Gozzi, Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities. J. Math. Anal. Appl. 198 (1996) 399-443. | Zbl

[19] F. Gozzi, E. Rouy and A. Świȩch, Second order Hamilton-Jacobi equations in Hilbert spaces and stochastic boundary control. SIAM J. Control Optim. 38 (2000) 400-430. | Zbl

[20] A. Grorud and E. Pardoux, Intégrales Hilbertiennes anticipantes par rapport à un processus de Wiener cylindrique et calcul stochastique associé. Appl. Math. Optim. 25 (1992) 31-49. | Zbl

[21] A. Ichikawa, Stability of parabolic equations with boundary and pointwise noise, in Stochastic differential systems (Marseille-Luminy, 1984). Lect. Notes Control Inform. Sci. 69 (1985) 55-66. | Zbl

[22] I. Lasiecka and R. Triggiani, Differential and algebraic Riccati equations with application to boundary/point control problems: continuous theory and approximation theory. Lect. Notes Control Inform. Sci. 164, Springer-Verlag, Berlin (1991). | MR | Zbl

[23] B. Maslowski, Stability of semilinear equations with boundary and pointwise noise. Ann. Scuola Norm. Sup. Pisa Cl. Sci. 22 (1995) 55-93. | EuDML | Numdam | Zbl

[24] D. Nualart, The Malliavin Calculus and Related Topics, Probability and its Applications, Springer (1995). | MR | Zbl

[25] D. Nualart and E. Pardoux, Stochastic calculus with anticipative integrands. Probab. Th. Rel. Fields 78 (1988) 535-581. | Zbl

[26] E. Pardoux and S. Peng, Adapted solution of a backward stochastic differential equation. Syst. Control Lett. 14 (1990) 55-61. | Zbl

[27] E. Pardoux and S. Peng, Backward stochastic differential equations and quasilinear parabolic partial differential equations, in Stochastic partial differential equations and their applications, B.L. Rozowskii and R.B. Sowers Eds., Springer, Lect. Notes Control Inf. Sci. 176 (1992) 200-217. | Zbl

[28] Y.A. Rozanov and Yu. A., General boundary value problems for stochastic partial differential equations. Trudy Mat. Inst. Steklov. 200 (1991) 289-298. | Zbl

[29] R.B. Sowers, Multidimensional reaction-diffusion equations with white noise boundary perturbations. Ann. Probab. 22 (1994) (2071-2121). | Zbl

[30] A. Świȩch, “Unbounded” second order partial differential equations in infinite-dimensional Hilbert spaces. Comm. Part. Diff. Eq. 19 (1994) 11-12, 1999-2036. | Zbl

Cited by Sources: