Ergodic BSDEs under weak dissipative assumptions

DOI10.1016/J.SPA.2010.11.009zbMATH Open1221.60080arXiv1004.1571OpenAlexW2057044813MaRDI QIDQ550144FDOQ550144

Authors: A. Debussche, Ying Hu, Gianmario Tessitore 

Publication date: 8 July 2011

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

Abstract: In this paper we study ergodic backward stochastic differential equations (EBSDEs) dropping the strong dissipativity assumption needed in the previous work. In other words we do not need to require the uniform exponential decay of the difference of two solutions of the underlying forward equation, which, on the contrary, is assumed to be non degenerate. We show existence of solutions by use of coupling estimates for a non-degenerate forward stochastic differential equations with bounded measurable non-linearity. Moreover we prove uniqueness of "Markovian" solutions exploiting the recurrence of the same class of forward equations. Applications are then given to the optimal ergodic control of stochastic partial differential equations and to the associated ergodic Hamilton-Jacobi-Bellman equations.

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

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zbMATH Keywords

backward stochastic differential equationergodic controlHamilton-Jacobi-bellman equationBismut-Elworthy formulacoupling estimaterecurrence propertyweak dissipative assumption

Mathematics Subject Classification ID

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

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Cited In (32)

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• Ergodic maximum principle for stochastic systems
• Efficient drift parameter estimation for ergodic solutions of backward SDEs
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• Nash equilibria for nonzero-sum ergodic stochastic differential games
• Ergodic BSDEs with Multiplicative and Degenerate Noise
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• Strong and weak orders in averaging for SPDEs
• AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK
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• Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise
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