Ergodic BSDEs and related PDEs with Neumann boundary conditions

DOI10.1016/j.spa.2009.03.005zbMath1173.60327arXiv0807.1521OpenAlexW2095561726MaRDI QIDQ841486

Adrien Richou

Publication date: 17 September 2009

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

Full work available at URL: https://arxiv.org/abs/0807.1521

zbMATH Keywords

Neumann boundary conditionsbackward stochastic differential equationsergodic controlergodic partial differential equations

Mathematics Subject Classification ID

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

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