Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions

We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the driver is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore, this forward process is reflected in a convex subset of Rd not necessarily bounded. We study the link of such EBSDEs with PDEs and we apply our results to an ergodic optimal control problem.

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Year of publication:	2015
Authors:	Madec, P.Y.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 5, p. 1821-1860
Publisher:	Elsevier
Subject:	Backward stochastic differential equations \| Weakly dissipative drift \| Neumann boundary conditions \| Ergodic partial differential equations \| Optimal ergodic control problem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011209784