Ergodic BSDEs under weak dissipative assumptions

DOI10.1016/j.spa.2010.11.009zbMath1221.60080arXiv1004.1571OpenAlexW2057044813MaRDI QIDQ550144

Arnaud Debussche, Ying Hu, Gianmario Tessitore

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.1571

zbMATH Keywords

ergodic controlbackward stochastic differential equationBismut-Elworthy formulaHamilton-Jacobi-bellman equationcoupling estimaterecurrence propertyweak dissipative assumption

Mathematics Subject Classification ID

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

Related Items (25)

Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach ⋮ Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization ⋮ Ergodic BSDEs driven by G-Brownian motion and applications ⋮ Ergodic maximum principle for stochastic systems ⋮ A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians ⋮ Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise ⋮ Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations ⋮ Ergodic control of McKean-Vlasov SDEs and associated Bellman equation ⋮ Strong and weak orders in averaging for SPDEs ⋮ Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise ⋮ An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior ⋮ Representation of asymptotic values for nonexpansive stochastic control systems ⋮ Representation of limit values for nonexpansive stochastic differential games ⋮ Ergodic BSDEs with Multiplicative and Degenerate Noise ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions ⋮ Undiscounted Markov Chain BSDEs to Stopping Times ⋮ Necessary conditions for optimality for stochastic evolution equations ⋮ Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions ⋮ Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces ⋮ Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation ⋮ Nash equilibria for nonzero-sum ergodic stochastic differential games ⋮ Infinite horizon BSDEs under consistent nonlinear expectations ⋮ AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

Cites Work

• Unnamed Item
• Exponential mixing for 2D Navier-Stokes equations perturbed by an unbounded noise
• Ergodic BSDEs and related PDEs with Neumann boundary conditions
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
• Ergodic control of semilinear stochastic equations and the Hamilton-Jacobi equation
• Exponential convergence for the stochastically forced Navier-Stokes equations and other partially dissipative dynamics
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Backward stochastic differential equations and applications to optimal control
• Coupling for some partial differential equations driven by white noise
• BSDE on an infinite horizon and elliptic PDEs in infinite dimension
• Ergodicity for the stochastic complex Ginzburg--Landau equations
• Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
• On ergodic stochastic control
• Backward Stochastic Differential Equations in Finance
• The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• Ergodicity for Infinite Dimensional Systems
• On Filippov's Implicit Functions Lemma
• A coupling approach to randomly forced nonlinear PDE's. I
• Gibbsian dynamics and ergodicity for the stochastically forced Navier-Stokes equation
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Ergodic BSDEs under weak dissipative assumptions