کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527328 958825 2015 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
چکیده انگلیسی
We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the driver is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore, this forward process is reflected in a convex subset of Rd not necessarily bounded. We study the link of such EBSDEs with PDEs and we apply our results to an ergodic optimal control problem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 5, May 2015, Pages 1821-1860
نویسندگان
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