Ergodic BSDEs with jumps and time dependence
Probability
2015-11-11 v2 Optimization and Control
Computational Finance
Abstract
In this paper we look at ergodic BSDEs in the case where the forward dynamics are given by the solution to a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck SDE with L\'evy noise, taking values in a separable Hilbert space. We establish the existence of a unique bounded solution to an infinite horizon discounted BSDE. We then use the vanishing discount approach, together with coupling techniques, to obtain a Markovian solution to the EBSDE. We also prove uniqueness under certain growth conditions. Applications are then given, in particular to risk-averse ergodic optimal control and power plant evaluation under uncertainty.
Keywords
Cite
@article{arxiv.1406.4329,
title = {Ergodic BSDEs with jumps and time dependence},
author = {Samuel N. Cohen and Victor Fedyashov},
journal= {arXiv preprint arXiv:1406.4329},
year = {2015}
}