Ergodic BSDEs with Multiplicative and Degenerate Noise
DOI10.1137/19M1292552zbMath1448.60137arXiv1910.05028WikidataQ114074226 ScholiaQ114074226MaRDI QIDQ3300841
Giuseppina Guatteri, Gianmario Tessitore
Publication date: 30 July 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.05028
backward stochastic differential equationsergodic controlmultiplicative noiseinfinite dimensional SDEs
Optimal feedback synthesis (49N35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Dynamical systems and their relations with probability theory and stochastic processes (37A50)
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