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arXiv · 0807.1521

Ergodic BSDEs and related PDEs with Neumann boundary conditions

Adrien Richou
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Abstract

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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Adrien Richou. 2008-07-09. Ergodic BSDEs and related PDEs with Neumann boundary conditions. https://doi.org/10.1016/j.spa.2009.03.005

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