Ergodic BSDEs Driven by Markov Chains

DOI10.1137/120885875zbMath1282.60071arXiv1207.5680OpenAlexW2162013877MaRDI QIDQ2873870

Ying Hu, Samuel N. Cohen

Publication date: 27 January 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.5680

zbMATH Keywords

Markov chainuniform ergodicityNummelin splittingergodic backward stochastic differential equationrisk-averse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Continuous-time Markov processes on discrete state spaces (60J27) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (13)

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Ergodic BSDEs driven by G-Brownian motion and applications ⋮ Anticipated backward stochastic differential equations on Markov chains ⋮ Markov chains under nonlinear expectation ⋮ Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation ⋮ Anticipated BSDEs driven by a single jump process ⋮ Fully coupled forward-backward stochastic differential equations on Markov chains ⋮ A framework of BSDEs with stochastic Lipschitz coefficients ⋮ Ergodic BSDEs with Multiplicative and Degenerate Noise ⋮ A general comparison theorem for reflected BSDEs ⋮ Undiscounted Markov Chain BSDEs to Stopping Times ⋮ Anticipated BSDEs driven by time-changed Lévy noises ⋮ Infinite horizon BSDEs under consistent nonlinear expectations

This page was built for publication: Ergodic BSDEs Driven by Markov Chains