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| HAL: hal-00294590, version 1 |
| arXiv: 0807.1521 |
| DOI: 10.1016/j.spa.2009.03.005 |
| Detailed view |  Export this paper |
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| Stochastic Processes and their Applications 119, 9 (2009) 2945-2969 |
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| Ergodic BSDEs and related PDEs with Neumann boundary conditions |
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| Adrien Richou 1 |
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| (2009) |
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| We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that the ergodic constant appears in Neumann boundary conditions. We study the existence and uniqueness of solutions to EBSDEs and the link with partial differential equations. Then we apply these results to optimal ergodic control problems. |
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| 1: | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| Subject | : | Mathematics/Probability |
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| hal-00294590, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00294590 | |
| oai:hal.archives-ouvertes.fr:hal-00294590 | |
| From: Adrien Richou | |
| Submitted on: Wednesday, 9 July 2008 17:12:21 | |
| Updated on: Thursday, 11 February 2010 16:14:56 | |
