scientific article; zbMATH DE number 2015361

MaRDI QIDQ4438196zbMATH OpenFDO

Authors Jens Frehse, Alain Bensoussan

Publication date 2002

zbMATH Keywords

approximationBellman equation with Neumann boundary conditionergodic controlestimateHamiltonianmartingale

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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(8)

• The ergodic limit for weak solutions of elliptic equations with Neumann boundary condition
• On the boundary ergodic problem for fully nonlinear equations in bounded domains with general nonlinear Neumann boundary conditions
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control
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• Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas
• Ergodic BSDEs and related PDEs with Neumann boundary conditions

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