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

DOI10.1016/J.SPA.2014.11.015MaRDI QIDQ2018561zbMATH OpenOpenAlexFDO

Authors 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

ergodicitybackward stochastic differential equationsNeumann boundary conditionspartial differential equationsergodic optimal control problemweakly dissipative drift

Mathematics Subject Classification ID

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

Abstract: We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the drift is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore, this forward process is reflected in a convex subset of $R^d$ not necessary bounded. We study the link of such EBSDEs with PDEs and we apply our results to an ergodic optimal control problem.

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Cited in

(11)

• An approximation result for a nonlinear Neumann boundary value problem via BSDEs
• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• Ergodic BSDEs with multiplicative and degenerate noise
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• Ergodic BSDEs under weak dissipative assumptions
• Ergodic BSDEs and related PDEs with Neumann boundary conditions
• Ergodic control of McKean-Vlasov SDEs and associated Bellman equation
• Infinite horizon BSDEs under consistent nonlinear expectations
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
• A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions

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