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Ergodic BSDEs with Multiplicative and Degenerate Noise (Q3300841)

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Language	Label	Description	Also known as
English	Ergodic BSDEs with Multiplicative and Degenerate Noise	scientific article

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scholarly article

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Ergodic BSDEs with Multiplicative and Degenerate Noise (English)

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Giuseppina Guatteri

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Gianmario Tessitore

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SIAM Journal on Control and Optimization

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publication date

30 July 2020

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full work available at URL

https://arxiv.org/abs/1910.05028

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zbMATH Keywords

ergodic control

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infinite dimensional SDEs

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backward stochastic differential equations

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multiplicative noise

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MaRDI profile type

MaRDI publication profile

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Ergodic BSDEs Driven by Markov Chains

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Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach

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Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise

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Ergodicity for Infinite Dimensional Systems

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Backwards SDE with random terminal time and applications to semilinear elliptic PDE

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Ergodic BSDEs under weak dissipative assumptions

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A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.

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The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces

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Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

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Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations

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Ergodic control of semilinear stochastic equations and the Hamilton-Jacobi equation

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Ergodic BSDEs driven by G-Brownian motion and applications

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

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A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension

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BSDE on an infinite horizon and elliptic PDEs in infinite dimension

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Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE

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Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory

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Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces

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Stochastic maximum principle for optimal control of SPDEs

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

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On Filippov's Implicit Functions Lemma

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Stochastic differential equations, backward SDEs, partial differential equations

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Ergodic BSDEs and related PDEs with Neumann boundary conditions

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BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>

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Identifiers

zbMATH Open document ID

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10.1137/19M1292552

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Mathematics Subject Classification ID

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zbMATH DE Number

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Mathematics(1 entry)

mardi Publication:3300841

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