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ArticleErgodic BSDEs under weak dissipative assumptions

Arnaud Debussche2010

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Articlebronze2010

Ergodic BSDEs under weak dissipative assumptions

Arnaud Debussche · Ying Hu · Gianmario Tessitore

62 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Nonlinear Partial Differential Equations

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References

1997Backward Stochastic Differential Equations in Finance 1993Backward stochastic differential equations and applications to optimal control 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control 1998On ergodic stochastic control 1998Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs 2009Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces 2004Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces 2004BSDE s with a random terminal time driven by a monotone generator and their links with PDE s

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2015A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension 2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach 2017Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE 2009Ergodic BSDEs and related PDEs with Neumann boundary conditions

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2009Ergodic BSDEs and related PDEs with Neumann boundary conditionsarticle · 5 shared references 2009Ergodic BSDEs and Optimal Ergodic Control in Banach Spacesarticle · 4 shared references 2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approacharticle · 4 shared references 2007BSDE on an infinite horizon and elliptic PDEs in infinite dimensionarticle · 4 shared references 1999BSDEs with polynomial growth generatorsarticle · 3 shared references 2004BSDE s with a random terminal time driven by a monotone generator and their links with PDE sarticle · 3 shared references

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Year2010

Typearticle

Published2010-11-22

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations62

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2010.11.009

openalex_workW2057044813

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2018

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior