Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
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Publication:5130922
DOI10.1137/18M1234783zbMath1461.60057arXiv1807.01816WikidataQ114074269 ScholiaQ114074269MaRDI QIDQ5130922
Gechun Liang, Shanjian Tang, Ying Hu
Publication date: 30 October 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.01816
regime switchingforward performance processesergodic BSDE systeminfinite horizon BSDE systemlarge time behavior of PDE systemsmultidimensional comparison theorem
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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