Ergodic distribution dependent BSDE and application to long-time behavior of finite horizon distribution dependent BSDE
Probability
2025-12-01 v1
Abstract
After proving existence and uniqueness of ergodic distribution dependent backward stochastic differential equations (BSDEs) under strong and weak dissipativity regimes for the underlying McKean--Vlasov SDE, we leverage this new framework to investigate the long-time behavior of distribution dependent BSDEs on a finite-time horizon. Finally, we apply our results to solve an ergodic McKean--Vlasov stochastic control problem and study the long-time behavior of the value function of a finite-horizon McKean--Vlasov stochastic control problem.
Keywords
Cite
@article{arxiv.2511.22192,
title = {Ergodic distribution dependent BSDE and application to long-time behavior of finite horizon distribution dependent BSDE},
author = {Kaplan Desbouis and Adrien Richou},
journal= {arXiv preprint arXiv:2511.22192},
year = {2025}
}