{
  "id": "1406.5993",
  "version": "v2",
  "published": "2014-06-23T17:27:18.000Z",
  "updated": "2015-01-15T12:59:35.000Z",
  "title": "A probabilistic approach to large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension",
  "authors": [
    "Ying Hu",
    "Pierre-Yves Madec",
    "Adrien Richou"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We study the large time behaviour of mild solutions of HJB equations in infinite dimension by a purely probabilistic approach. For that purpose, we show that the solution of a BSDE in finite horizon $T$ taken at initial time behaves like a linear term in $T$ shifted with the solution of the associated EBSDE taken at initial time. Moreover we give an explicit speed of convergence, which seems to appear very rarely in literature.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-06-23T17:27:18.000Z",
      "title": "Large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension by a probabilistic approach",
      "comment": null,
      "journal": null,
      "doi": null
    },
    {
      "version": "v2",
      "updated": "2015-01-15T12:59:35.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "large time behaviour",
      "mild solutions",
      "infinite dimension",
      "hamilton-jacobi-bellman equations",
      "initial time behaves"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1406.5993H"
    }
  }
}