Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces

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dc.creatorFuhrman, Marco
dc.creatorHu, Ying
dc.creatorTessitore, Gianmario
dc.date2007-07-28
dc.date.accessioned2026-07-07T08:20:54Z
dc.date.available2026-07-07T08:20:54Z
dc.descriptionIn 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 ergodic control of a Banach valued stochastic state equation. We also establish the link between the ergodic BSDEs and the associated Hamilton-Jacobi-Bellman equation. Applications are given to ergodic control of stochastic partial differential equations.
dc.identifierhttps://arxiv.org/abs/0707.4214
dc.identifierhttp://arxiv.org/abs/0707.4214
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/135202
dc.subjectProbability
dc.titleErgodic BSDEs and Optimal Ergodic Control in Banach Spaces
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