We introduce a new kind of BSDEs called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to these ergodic BSDEs. Then we apply these results to the optimal ergodic control. We also establish the link between the ergodic BSDE and the ergodic PDE.

Fuhrman, M., Ying, H., Tessitore, G. (2009). Ergodic BSDES and optimal ergodic control in Banach spaces. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 48(3), 1542-1566.

Ergodic BSDES and optimal ergodic control in Banach spaces

TESSITORE, GIANMARIO
2009

Abstract

We introduce a new kind of BSDEs called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to these ergodic BSDEs. Then we apply these results to the optimal ergodic control. We also establish the link between the ergodic BSDE and the ergodic PDE.
Articolo in rivista - Articolo scientifico
Backward Stochastic Differential Equations, Ergodic Control
English
2009
48
3
1542
1566
none
Fuhrman, M., Ying, H., Tessitore, G. (2009). Ergodic BSDES and optimal ergodic control in Banach spaces. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 48(3), 1542-1566.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/9052
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