Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions

DOI10.1016/j.spa.2014.11.015zbMath1322.60092arXiv1310.5498OpenAlexW1975037561MaRDI QIDQ2018561

Pierre-Yves Madec

Publication date: 24 March 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5498

zbMATH Keywords

ergodicityNeumann boundary conditionsbackward stochastic differential equationspartial differential equationsergodic optimal control problemweakly dissipative drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations ⋮ Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process ⋮ Mean-field backward doubly stochastic Volterra integral equations and their applications ⋮ Ergodic control of McKean-Vlasov SDEs and associated Bellman equation ⋮ Ergodic BSDEs with Multiplicative and Degenerate Noise ⋮ A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions ⋮ Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation ⋮ Infinite horizon BSDEs under consistent nonlinear expectations

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