Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach
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DOI: 10.1016/j.spa.2015.12.009
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- 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.
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Cited by:
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- Fuhrman, Marco & Morlais, Marie-Amélie, 2020. "Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3120-3153.
- 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.
- Bandini, Elena & Fuhrman, Marco, 2017. "Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1441-1474.
- Bandini, Elena & Cosso, Andrea & Fuhrman, Marco & Pham, Huyên, 2019. "Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 674-711.
- Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019.
"An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior,"
Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.
- 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.
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Keywords
Hamilton–Jacobi–Bellman type equation; Stochastic control; Large time behavior; Backward SDE; Ergodic type Bellman equation;All these keywords.
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