Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions

Abstract

We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the drift is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore, this forward process is reflected in a convex subset of ${\mathbb{R}}^d$ not necessary bounded. We study the link of such EBSDEs with PDEs and we apply our results to an ergodic optimal control problem.

References in corpus (3)

• Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications
• Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds
• Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts