Ergodic BSDEs and related PDEs with Neumann boundary conditions

Details Ergodic BSDEs and related PDEs with Neumann boundary conditions Ergodic BSDEs and related PDEs with Neumann boundary conditions

2008-07-09

arxiv.org/abs/0807.1521v1

Stochastic Processes and their Applications 119, 9 (2009) 2945-2969

Mathematics

Probability

Scientific paper

10.1016/j.spa.2009.03.005

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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