arXiv:0807.1521 Abstract | arXiv Analytics

arXiv:0807.1521 [math.PR]Abstract References Reviews Resources

Ergodic BSDEs and related PDEs with Neumann boundary conditions

Published 2008-07-09Version 1

We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that the ergodic constant appears in Neumann boundary conditions. We study the existence and uniqueness of solutions to EBSDEs and the link with partial differential equations. Then we apply these results to optimal ergodic control problems.

Journal: Stochastic Processes and their Applications 119, 9 (2009) 2945-2969

DOI: 10.1016/j.spa.2009.03.005

Categories: math.PR

Keywords: neumann boundary conditions, ergodic bsdes, related pdes, backward stochastic differential equations, boundary value problems

Tags: journal article

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