Ergodic backward stochastic difference equations

DOI10.1080/17442508.2016.1224881zbMath1352.60079arXiv1509.00231OpenAlexW2962899599MaRDI QIDQ2833722

Samuel N. Cohen, Andrew L. Allan

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.00231

zbMATH Keywords

Markov chainsergodic controluniform ergodicityNummelin splittingergodic backward stochastic difference equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Stochastic analysis (60H99) Limit theorems in probability theory (60F99)

Related Items (3)

Solvability of forward–backward stochastic difference equations with finite states ⋮ Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE

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