Ergodic backward stochastic difference equations

DOI10.1080/17442508.2016.1224881zbMATH Open1352.60079arXiv1509.00231OpenAlexW2962899599MaRDI QIDQ2833722FDOQ2833722

Authors: Andrew L. Allan, Samuel N. Cohen 

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain this result, we use a Nummelin splitting argument to obtain ergodicity estimates for a discrete time Markov chain which hold uniformly under suitable perturbations of its transition matrix. We conclude with an application of this theory to a treatment of an ergodic control problem.

Full work available at URL: https://arxiv.org/abs/1509.00231

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zbMATH Keywords

Markov chainsergodic controluniform ergodicityNummelin splittingergodic backward stochastic difference equations

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic analysis (60H99)

Cited In (5)

• CONIC TRADING IN A MARKOVIAN STEADY STATE
• Title not available (Why is that?)
• Solvability of forward-backward stochastic difference equations with finite states
• Infinite horizon backward stochastic difference equations and related stochastic recursive control problems
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems

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