Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
Probability
2015-01-16 v2
Abstract
We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the drift 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 not necessary bounded. We study the link of such EBSDEs with PDEs and we apply our results to an ergodic optimal control problem.
Keywords
Cite
@article{arxiv.1310.5498,
title = {Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions},
author = {Pierre-Yves Madec},
journal= {arXiv preprint arXiv:1310.5498},
year = {2015}
}