主题：A Mixed Discretization Method with Error Analysis for Stochastic Linear Quadratic Optimal Control Problems

主讲人：西南大学数学与统计学院 王燕青副教授

主持人：数学学院 马敬堂教授

时间：2025年9月17日（周三）10:00

地点：柳林校区通博楼B412会议室

主办单位：数学学院 科研处

主讲人简介：

王燕青，西南大学数学与统计学院副教授，研究领域:随机系统的控制理论和最优控制问题的数值算法；倒向随机微分方程数值算。主持国家自然科学基金项目2项、重庆市基础科学与前沿技术研究项目1项，科研成果发表于《ESAIM: Control Optim. Calc. Var.》《System Control Lett.》等期刊。担任《Math. Control Relat. Fields》等国际期刊审稿人及美国《数学评论》评论员。

内容提要：

This talk addresses time-implicit, finite-element-based space–time schemes for stochastic linear quadratic optimal control problems governed by stochastic heat equations with distributed controls. Two discretization methods are introduced: an open-loop-based approach for approximating the coupled forward-backward stochastic heat equations, and a closed-loop-based approach for discretizing differential Riccati equations. A mixed scheme is then proposed to combine the strengths and avoid the weaknesses of the previous two methods. Convergence rates are presented, and numerical experiments are presented to confirm the theoretical results. This talk is based on joint work with Prof. Andreas Prohl (University of Tübingen).