Ergodic BSDEs under weak dissipative assumptions
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- Da Prato, Giuseppe & Debussche, Arnaud & Tubaro, Luciano, 2005. "Coupling for some partial differential equations driven by white noise," Stochastic Processes and their Applications, Elsevier, vol. 115(8), pages 1384-1407, August.
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- Cosso, Andrea & Fuhrman, Marco & Pham, Huyên, 2016. "Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1932-1973.
- Filippo de Feo, 2020. "The Averaging Principle for Non-autonomous Slow-fast Stochastic Differential Equations and an Application to a Local Stochastic Volatility Model," Papers 2012.09082, arXiv.org, revised Jan 2021.
- Li, Juan & Zhao, Nana, 2019. "Representation of asymptotic values for nonexpansive stochastic control systems," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 634-673.
- Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
- Hu, Mingshang & Wang, Falei, 2021. "Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 139-171.
- Ying Hu & Gechun Liang & Shanjian Tang, 2018. "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers 1807.01816, arXiv.org, revised Jun 2020.
- Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
- Bréhier, Charles-Edouard, 2012. "Strong and weak orders in averaging for SPDEs," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2553-2593.
- Madec, P.Y., 2015. "Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 1821-1860.
- Hu, Ying & Lemonnier, Florian, 2019. "Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4009-4050.
- Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019.
"An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior,"
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- Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers 1607.02289, arXiv.org, revised Apr 2017.
- Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
- Samuel N. Cohen & Victor Fedyashov, 2015. "Nash equilibria for non zero-sum ergodic stochastic differential games," Papers 1511.02716, arXiv.org, revised Jun 2017.
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Keywords
Backward stochastic differential equation Bismut-Elworthy formula Coupling estimate Ergodic control Hamilton-Jacobi-Bellman equation Recurrence property Weak dissipative assumption;Statistics
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