Applications and Numerical Approximation

Abstract:

In this chapter we present applications of the chaos expansion method in optimal control and stochastic partial differential equations. In particular, we consider the stochastic linear quadratic optimal control problem where the state equation is given by a stochastic differential equation of the Itô-Skorokhod type with different forms of noise disturbances, operator differential algebraic equations arising in fluid dynamics, stationary equations and fractional versions of the studied equations. Moreover, we provide a numerical framework based on chaos expansions and perform numerical simulations.

Año de publicación:

2017

Keywords:

Fuente:

scopus