Ergodic BSDEs and optimal ergodic control in Banach spaces

DOI10.1137/07069849XzbMATH Open1196.60106arXiv0707.4214MaRDI QIDQ3566976FDOQ3566976

Authors: Marco Fuhrman, Ying Hu, Gianmario Tessitore 

Publication date: 10 June 2010

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

Abstract: In this paper we introduce a new kind of Backward Stochastic Differential Equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to ergodic BSDEs. Then we apply these results to the optimal ergodic control of a Banach valued stochastic state equation. We also establish the link between the ergodic BSDEs and the associated Hamilton-Jacobi-Bellman equation. Applications are given to ergodic control of stochastic partial differential equations.

Full work available at URL: https://arxiv.org/abs/0707.4214

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zbMATH Keywords

backward stochastic differential equationsHamilton-Jacobi-Bellman equationstochastic optimal controlergodic controlcontrolled stochastic partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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