Ergodic BSDEs with multiplicative and degenerate noise

DOI10.1137/19M1292552zbMATH Open1448.60137arXiv1910.05028WikidataQ114074226 ScholiaQ114074226MaRDI QIDQ3300841FDOQ3300841

Authors: Giuseppina Guatteri, Gianmario Tessitore 

Publication date: 30 July 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In this paper we study an Ergodic Markovian BSDE involving a forward process $X$ that solves an infinite dimensional forward stochastic evolution equation with multiplicative and possibly degenerate diffusion coefficient. A concavity assumption on the driver allows us to avoid the typical quantitative conditions relating the dissipativity of the forward equation and the Lipschitz constant of the driver. Although the degeneracy of the noise has to be of a suitable type we can give a stochastic representation of a large class of Ergodic HJB equations; morever our general results can be applied to get the synthesis of the optimal feedback law in relevant examples of ergodic control problems for SPDEs.

Full work available at URL: https://arxiv.org/abs/1910.05028

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zbMATH Keywords

backward stochastic differential equationsmultiplicative noiseergodic controlinfinite dimensional SDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal feedback synthesis (49N35)

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Cited In (10)

• BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
• Ergodic BSDEs under weak dissipative assumptions
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• Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
• Ergodic BSDEs and related PDEs with Neumann boundary conditions
• Ergodic BSDEs and optimal ergodic control in Banach spaces
• Ergodic BSDEs driven by Markov chains
• Representation theorems for backward stochastic differential equations
• Infinite horizon BSDEs under consistent nonlinear expectations
• Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation

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