Existence and uniqueness of global solutions to the stochastic heat equation with superlinear drift on an unbounded spatial domain

We prove the existence and uniqueness of global solutions to the semilinear stochastic heat equation on an unbounded spatial domain with forcing terms that grow superlinearly and satisfy an Osgood condition [Formula: see text] along with additional restrictions. For example, consider the forcing [Formula: see text]. A new dynamic weighting procedure is introduced to control the solutions, which are unbounded in space.

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

We verify strong rates of convergence for a time-implicit, finite-element based space-time discretization of the backward stochastic heat equation, and the forward-backward stochastic heat equation from stochastic optimal control. The fully discrete version of the forward-backward stochastic heat equation is then used within a gradient descent algorithm to approximately solve the linear-quadratic control problem for the stochastic heat equation driven by additive noise. This work is thus giving a theoretical foundation for the computational findings in [ 14 ].