Ergodic BSDEs Driven by Markov Chains (Q2873870)

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Ergodic BSDEs Driven by Markov Chains
scientific article

    Statements

    title
    Ergodic BSDEs Driven by Markov Chains (English)
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    author
    Samuel N. Cohen
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    Ying Hu
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    publication date
    27 January 2014
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    zbMATH Keywords
    ergodic backward stochastic differential equation
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    Markov chain
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    uniform ergodicity
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    Nummelin splitting
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    risk-averse control
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    Identifiers

    DOI
    10.1137/120885875
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    Mathematics Subject Classification ID
    60J27
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    93E20
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    49J55
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    zbMATH DE Number
    6250882
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    OpenAlex ID
    W2162013877
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