{
  "id": "1406.4329",
  "version": "v2",
  "published": "2014-06-17T11:42:58.000Z",
  "updated": "2015-11-10T17:14:36.000Z",
  "title": "Ergodic BSDEs with jumps and time dependence",
  "authors": [
    "Samuel N. Cohen",
    "Victor Fedyashov"
  ],
  "categories": [
    "math.PR",
    "math.OC",
    "q-fin.CP"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-06-17T11:42:58.000Z",
      "comment": null,
      "journal": null,
      "doi": null
    },
    {
      "version": "v2",
      "updated": "2015-11-10T17:14:36.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H20",
      "93E20",
      "60F17"
    ],
    "keywords": [
      "ergodic bsdes",
      "time dependence",
      "risk-averse ergodic optimal control",
      "infinite horizon discounted bsde",
      "power plant evaluation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1406.4329C"
    }
  }
}