Ergodic BSDE with an unbounded and multiplicative underlying diffusion and application to large time behavior of viscosity solution of HJB equation

Ying Hu (1) , Florian Lemonnier (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

In this paper, we study ergodic backward stochastic differential equations (EBSDEs for short), for which the underlying diffusion is assumed to be multiplicative and of at most linear growth. The fact that the forward process has an unbounded diffusion is balanced with an assumption of weak dissipativity for its drift. Moreover, the forward equation is assumed to be non-degenerate. Like in [HMR15], we show that the solution of a BSDE in finite horizon T behaves basically as a linear function of T, with a shift depending on the solution of the associated EBSDE, with an explicit rate of convergence. Finally, we apply our results to an ergodic optimal control problem. In particular, we show the large time behaviour of viscosity solution of Hamilton-Jacobi-Bellman equation with an exponential rate of convergence when the undelrying diffusion is multiplicative and unbounded.

Mots clés: multiplicative and unbounded diffusion; ergodic backward stochastic differential equation; HJB equation; large time behavior; rate of convergence

Domaines: Probabilités [math.PR]

Ying Hu, Florian Lemonnier. Ergodic BSDE with an unbounded and multiplicative underlying diffusion and application to large time behavior of viscosity solution of HJB equation. Stochastic Processes and their Applications, 2019, 129 (10), pp.4009-4050. ⟨10.1016/j.spa.2018.11.008⟩. ⟨hal-01674766⟩