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math.PR2015
A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions
Ying Hu, Pierre-Yves Madec
This paper is devoted to the study of the large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions. This work is the sequel of [13] in wh…
math.PR2014★ 10 cited
A probabilistic approach to large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension
Ying Hu, Pierre-Yves Madec, Adrien Richou
We study the large time behaviour of mild solutions of HJB equations in infinite dimension by a purely probabilistic approach. For that purpose, we show that the solution of a BSDE…
math.PR2013
Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
Pierre-Yves Madec
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 w…