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arXiv · 1310.5498

Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions

Pierre-Yves Madec
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Abstract

We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the drift is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore, this forward process is reflected in a convex subset of $\R^d$ not necessary bounded. We study the link of such EBSDEs with PDEs and we apply our results to an ergodic optimal control problem.

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Pierre-Yves Madec. 2015-01-15. Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions. https://arxiv.org/abs/1310.5498

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