Approximation of an optimal control problem for the time-fractional Fokker-Planck equation

Fabio Camilli, Serikbolsyn Duisembay, Qing Tang

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we study the numerical approximation of a system of PDEs which arises from an optimal control problem for the time-fractional Fokker-Planck equation with time-dependent drift. The system is composed of a backward time-fractional Hamilton-Jacobi-Bellman equation and a forward time-fractional Fokker-Planck equation. We approximate Caputo derivatives in the system by means of L1 schemes and the Hamiltonian by finite differences. The scheme for the Fokker-Planck equation is constructed in such a way that the duality structure of the PDE system is preserved on the discrete level. We prove the well-posedness of the scheme and the convergence to the solution of the continuous problem.
Original languageEnglish (US)
JournalJournal of Dynamics & Games
DOIs
StatePublished - 2021

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