| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10527328 | Stochastic Processes and their Applications | 2015 | 39 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
P.Y. Madec,