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  • Search: subject:"Optimal ergodic control problem"
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Backward stochastic differential equations 1 Ergodic partial differential equations 1 Neumann boundary conditions 1 Optimal ergodic control problem 1 Weakly dissipative drift 1
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Madec, P.Y. 1
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Stochastic Processes and their Applications 1
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Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
Madec, P.Y. - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1821-1860
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...
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