Path-Dependent Ergodic Optimal Control and Backward Stochastic Differential Equations

Abstract

We investigate a new class of infinite-horizon backward stochastic differential equations for ergodic optimal control where the cost and state dynamics are time and path-dependent. The state process is defined on an unbounded underlying domain and satisfies an extended dissipativity condition. In contrast with the time-homogeneous Markovian setting, the optimal ergodic cost in our framework is characterized by the asymptotic behavior of a deterministic function, rather than by a single real constant. We obtain well-posedness, verification and stability properties, which extend the previous results in the literature on the Markov case.

33 pages