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math.PR2026
Singular Backward SDEs for Optimal Control with State Constraints
Mathieu Lise, Nizar Touzi
We investigate a class of backward stochastic differential equations (BSDEs) with at most quadratic growth which explode at a possibly unbounded random horizon, defined through the…
math.PR2026
Path-Dependent Ergodic Optimal Control and Backward Stochastic Differential Equations
Xuyang Lin, Mathieu Lise, Nizar Touzi
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.…