Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

Prohl, A; Wang, YQ

Wang, YQ (corresponding author), Southwest Univ, Sch Math & Stat, Chongqing 400715, Peoples R China.

ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2021; 27 ():

Abstract

We verify strong rates of convergence for a time-implicit, finite-element based space-time discretization of the backward stochastic heat equation, an......

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