Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces

In this paper we introduce a new kind of backward stochastic differential equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness, and regularity of solution to ergodic BSDEs. Then we apply these results to the optimal ergodi...

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Veröffentlicht in:	SIAM journal on control and optimization 2009-01, Vol.48 (3), p.1542-1566
Hauptverfasser:	Fuhrman, Marco, Hu, Ying, Tessitore, Gianmario
Format:	Artikel
Sprache:	eng
Schlagworte:	Differential equations Ergodic processes Links Mathematical analysis Mathematics Optimization Partial differential equations Probability Regularity Stochastic models Stochasticity Studies Uniqueness
Online-Zugang:	Volltext
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