HU, Ying; MADEC, Pierre-Yves; RICHOU, Adrien

doi:10.1137/140976091

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HU, Ying
Research and Development [General Motors]

MADEC, Pierre-Yves
Institut de Recherche Mathématique de Rennes [IRMAR]

RICHOU, Adrien
Institut de Mathématiques de Bordeaux [IMB]

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Article de revue

Este ítem está publicado en

SIAM Journal on Control and Optimization. 2015, vol. 53, n° 1, p. 378-398

Society for Industrial and Applied Mathematics

Resumen en inglés

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 in finite horizon $T$ taken at initial time behaves like a linear term in $T$ shifted with the solution of the associated EBSDE taken at initial time. Moreover we give an explicit speed of convergence, which seems to appear very rarely in literature.< Leer menos

Palabras clave en inglés

backward stochastic differential equations

Ornstein-Uhlenbeck operator

HJB equations in infinite dimension

large time behavior

mild solutions

ergodic backward stochastic differential equations

URI

https://oskar-bordeaux.fr/handle/20.500.12278/194511

DOI

http://dx.doi.org/10.1137/140976091

Proyecto ANR

Centre de Mathématiques Henri Lebesgue : fondements, interactions, applications et Formation - ANR-11-LABX-0020

Orígen

Importado de Hal

Centros de investigación

Institut de Mathématiques de Bordeaux (IMB) - UMR 5251