کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155742 | 958764 | 2011 | 20 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Ergodic BSDEs under weak dissipative assumptions Ergodic BSDEs under weak dissipative assumptions](/preview/png/1155742.png)
In this paper we study ergodic backward stochastic differential equations (EBSDEs) dropping the strong dissipativity assumption needed in Fuhrman et al. (2009) [12]. In other words we do not need to require the uniform exponential decay of the difference of two solutions of the underlying forward equation, which, on the contrary, is assumed to be non-degenerate.We show the existence of solutions by the use of coupling estimates for a non-degenerate forward stochastic differential equation with bounded measurable nonlinearity. Moreover we prove the uniqueness of “Markovian” solutions by exploiting the recurrence of the same class of forward equations.Applications are then given for the optimal ergodic control of stochastic partial differential equations and to the associated ergodic Hamilton–Jacobi–Bellman equations.
Journal: Stochastic Processes and their Applications - Volume 121, Issue 3, March 2011, Pages 407–426