A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions

DOI10.1007/s00245-015-9318-0zbMath1366.35090arXiv1503.07703OpenAlexW1830712743MaRDI QIDQ517927

Ying Hu, Pierre-Yves Madec

Publication date: 28 March 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.07703

zbMATH Keywords

backward stochastic differential equationsviscosity solutionslarge time behaviourHJB equationsergodic backward stochastic differential equations

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order parabolic equations (35K10) Semilinear parabolic equations (35K58) Viscosity solutions to PDEs (35D40)

Related Items (7)

Ergodic BSDEs driven by G-Brownian motion and applications ⋮ Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes ⋮ Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ Ergodic Problems for Viscous Hamilton--Jacobi Equations with Inward Drift ⋮ Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation ⋮ Infinite horizon BSDEs under consistent nonlinear expectations

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